Gamma
Also called: gamma, option gamma, rate of change of delta.
How it is read
Gamma is why an option's behaviour is not a straight line. A strike far from the level responds sluggishly, then responds more and more as the level approaches it. So the same total move can be worth very different amounts depending on where it starts. Near expiry, an at-the-money option has high gamma. That is the arithmetic behind premiums that swing sharply in the final sessions on modest movement in the underlying.
What it does not tell you
Gamma is a second-order measure. Like delta, it is a model output rather than something quoted by an exchange. It is symmetric about direction, so a high gamma describes fast change either way rather than an advantage. It also has a cost. The arrangements that carry the most gamma are usually the ones losing the most time value per day. That is why the two are read together rather than separately.
See it in an experiment
Related concepts
Option Greeks: The Four Sensitivities and the Units They Are Quoted In
Delta, gamma, theta and vega are sensitivities, not forecasts. What each measures and the unit it is quoted in.
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