Why Is Gamma Risk More Significant for Short-Term Options?
Gamma measures the rate of change of Delta. Short-term options have a Gamma that is significantly higher than long-term options, especially near the strike price.
This means their Delta changes much more rapidly with small movements in the underlying price. High Gamma necessitates more frequent and costly rebalancing to maintain a Delta-neutral position, thus increasing the risk.
Glossar
Gamma Risk
Exposure ⎊ Gamma risk, within cryptocurrency derivatives, represents the sensitivity of an option's delta to changes in the underlying asset's price.
Short-Term
Horizon ⎊ Short-term, within cryptocurrency and derivatives, typically denotes a timeframe extending to one month, influencing trading strategies focused on volatility capture and rapid profit realization.