What Is “Gamma Risk” and How Does It Relate to Delta Hedging during High Volatility?

Gamma measures the rate of change of Delta. Gamma risk is the exposure to large, sudden changes in Delta, especially for At-The-Money options near expiration.

During high volatility, high Gamma means a small price move causes a large Delta change, forcing market makers to rapidly adjust their delta hedge by buying or selling the underlying, which accelerates the price movement.