Gamma

Gamma is one of the options Greeks — it measures how quickly an option's delta itself changes as the underlying stock moves. If delta describes an option's current directional exposure, gamma describes how fast that exposure is shifting. Gamma is highest for at-the-money options, especially as expiration approaches, because a small stock move can flip an at-the-money option between likely to finish in-the-money and likely to finish out-of-the-money. Options that are deep in- or out-of-the-money have low gamma, since their delta is already close to its extreme (near 1.0 or near 0) and has little room left to move. High gamma means a position's directional exposure can change quickly and by a meaningful amount — a real, independent source of risk beyond simple up-or-down price direction, distinct from delta itself.