What Is “Gamma” and How Does It Relate to Delta?
Gamma is an option Greek that measures the rate of change of an option's delta for a one-unit change in the underlying asset's price. Delta measures the option price sensitivity to the underlying price.
Gamma is the second derivative, essentially measuring how fast the delta changes. High gamma means delta is highly volatile, making the option's price more sensitive to small price moves.
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.
High Gamma Position
Sensitivity ⎊ A High Gamma Position is characterized by a portfolio of options that exhibits a large second-order sensitivity to changes in the underlying cryptocurrency's price, indicating a rapidly changing Delta.
Option Price Sensitivity
Delta ⎊ This represents the most immediate measure of option price sensitivity, quantifying the expected change in the option's premium for a marginal movement in the underlying cryptocurrency spot price.