How Does the Time to Expiration Affect the Gamma of a Near-the-Money OTM Option?
As the time to expiration decreases, the Gamma of a near-the-money OTM option increases dramatically. This is because the window for the option to move ITM is shrinking, making the impact of any price change more immediate and pronounced.
This high Gamma makes the option's Delta highly volatile in the final days before expiration.
