Unit 3 · Level 1 · The greeks
Gamma: delta in motion
Delta isn't fixed. It changes as the stock moves, and GAMMA measures how fast. High gamma means your direction exposure reshapes itself with every tick. It's biggest for at-the-money options near expiry, where one small move decides whether the option finishes worthless or a winner, so delta can lurch from near 0 to near 1 in minutes.
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What you get asked
Gamma measures…
Delta is speed; gamma is acceleration. It tells you how quickly your share-equivalent exposure is reshaping itself.
Near expiry, an at-the-money option's delta can whipsaw violently, and that's high ___.
With no time left to smooth things out, the ITM-or-worthless question gets decided tick by tick, and delta swings with it.
Watch gamma work on expiry day, in order.
A €1 wiggle turned almost-no-exposure into almost-full-exposure. Months from expiry, the same wiggle would barely nudge delta.
Why does gamma explode near expiry for at-the-money options?
At the wire, the strike is a knife's edge: a few cents either side is the difference between everything and nothing, so delta snaps between extremes.
The practical takeaway about near-expiry ATM options?
High gamma plus maximum theta is a chainsaw, not a scalpel. Respect it the way the Trading course taught you to respect leverage. 🐜
The rest of this unit
Delta, theta, vega, gamma: the four dials on every option's dashboard.