Option Greeks: Gamma

Option Greeks: Gamma

Intuition Publishing Pty Ltd
Updated Sep 24, 2020

Gamma is the option greek which measures the sensitivity of the option delta to changes in the price of the underlying asset. In this respect it is a secondary sensitivity as it measures the change in another greek, but it is still important for option traders. We discuss gamma and portfolio rebalancing, delta hedging, and finish up by outlining the Black-Scholes gamma formulas for options on different underlying assets.