How Does Gamma Affect a DITM Option?
Gamma is very low for a Deep In-The-Money (DITM) option, approaching zero. Low Gamma means the Delta of the option changes very slowly as the underlying price moves.
The DITM option acts very much like the underlying asset, with its Delta near 1.0.
Glossar
Rate of Change
Momentum ⎊ Rate of Change, within cryptocurrency, options, and derivatives, quantifies the velocity of price movements, serving as a core component in trend identification and predictive modeling.
Low Gamma
Exposure ⎊ Low gamma describes a state in an options portfolio where the delta changes minimally in response to movements in the underlying asset's price.
Ditm Option
Mechanism ⎊ A Ditm Option, within cryptocurrency derivatives, represents a digitally-implemented twin margin option, structured to provide exposure to two underlying assets simultaneously, often a cryptocurrency and a traditional asset like fiat currency or a stock index.
Gamma
Exposure ⎊ Gamma, within cryptocurrency derivatives and options trading, quantifies the rate of change of an option's delta with respect to changes in the underlying asset's price.
Delta
Sensitivity ⎊ Delta represents the first-order derivative of an option's price with respect to the underlying crypto asset's price, quantifying the theoretical change in the option's value for a one-unit change in the underlying.