Gamma

The Greeks describe an option's sensitivity to changes in different factors. Here we use ordinary stock options, with other pricing inputs held fixed.

Gamma

Delta's accelerator

For a one-unit rise in the underlying, approximately how much does delta change?

Near the strike and close to expiration, the same stock-price move usually causes a larger change in delta. Far from the strike, the change in delta is usually smaller.

View example

For example, with Delta = 0.5, Gamma = 0.04 and other factors unchanged:

The stock rises by 1 yuan
Delta becomes approximately 0.54

These are local estimates. Option-price amounts are per share; multiply by the contract multiplier for one contract.

For the same option and quantity, a short position has the opposite Greek signs to a long position.

Several factors can change together: a call can lose value even as the stock rises if time decay or falling implied volatility outweighs the gain from the stock move.