Option Greeks

Gamma

Definition

What is Gamma?

The rate at which an option's delta changes as the underlying price changes.

Example in practice

High gamma makes an option's directional exposure change quickly.

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The estimated change in an option's price for a small change in the underlying price.

The estimated loss in an option's value from the passage of time, all else equal.

The sensitivity of an option's price to a change in implied volatility.

Land and buildings held for use, rental income, development, or appreciation.

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