What Is the Gamma of a Deep ITM Option?
The Gamma of a deep In-the-Money (ITM) option is very close to zero. Gamma measures the rate of change of Delta.
Since a deep ITM option's Delta is already near its maximum of 1.0 (or -1.0) and changes very little with small movements in the underlying price, its Gamma is low. This means the Delta-hedge for a deep ITM option is very stable and requires minimal re-adjustment.
Glossar
Deep ITM
Depth ⎊ In cryptocurrency options and financial derivatives, a Deep In-The-Money (ITM) position signifies an option contract where the strike price is significantly below the current market price of the underlying asset for calls, or substantially above for puts.
Deep Itm Options
Nature ⎊ Contracts with strike prices that are significantly below the current market price for calls or above for puts possess high intrinsic value.
Deep Itm Option
Characteristic ⎊ A Deep Itm Option, or Deep In-The-Money option, possesses a strike price substantially distant from the current cryptocurrency spot price, resulting in a significant intrinsic value.