What Is the Significance of Gamma in Understanding the Change in an Option’s Delta?

Gamma measures the rate of change of an option's Delta with respect to a change in the underlying asset's price. It is the second derivative of the option price.

High Gamma means Delta is highly sensitive to price movements. This is significant because it means the option's price sensitivity (and thus its slippage potential) can change rapidly as the underlying moves.

Traders with high Gamma positions face higher hedging costs and greater execution risk.