How Does ‘Gamma’ Relate to the Concept of Slippage in Dynamic Options Hedging?

Gamma measures the rate of change of an option's Delta with respect to the underlying asset's price. High Gamma means the Delta changes rapidly, forcing a trader using a dynamic Delta-hedging strategy to frequently adjust their position in the underlying asset.

Each adjustment is a trade on the underlying, which incurs slippage. High Gamma, therefore, leads to more frequent hedging trades and a higher total accumulated slippage cost over time.