How Does an Option’s Gamma Relate to Its Delta When the Option Is ATM?
Gamma measures the rate of change of Delta with respect to the underlying asset's price. ATM options exhibit the highest Gamma.
This means that for a small move in the underlying price, the ATM option's Delta will change the most rapidly compared to OTM or deep ITM options. High Gamma indicates high price sensitivity and makes Delta hedging more dynamic, especially in volatile crypto markets.
