How Does ‘Gamma’ Relate to and Affect an Option’s Delta?

Gamma is the second-order option Greek that measures the rate of change of an option's delta with respect to a change in the underlying asset's price. Essentially, gamma tells you how much the delta will change as the underlying price moves.

High gamma means the delta will change rapidly, making the option's position highly sensitive to small price movements. Gamma is highest for at-the-money options and decreases as options move deep in-the-money or far out-of-the-money.