How Does the Gamma Greek Relate to the Frequency of Rebalancing a Delta Hedge?

Gamma measures the rate of change of an option's Delta with respect to the underlying asset's price. A high Gamma means the Delta changes rapidly for small price movements.

Consequently, a market maker holding a high-Gamma portfolio must rebalance their Delta hedge more frequently to maintain a market-neutral position. High Gamma leads to higher transaction costs due to frequent rebalancing, which is priced into the option premium.