Gamma

Gamma is one of the options Greeks — it measures how fast an option's delta itself changes as the stock moves. If delta shows an option's current directional exposure, gamma shows how quickly that exposure is shifting. Gamma runs highest for at-the-money options, especially close to expiration, since a small stock move there can flip the option between likely-in-the-money and likely-out. Deep in- or out-of-the-money options have low gamma, since their delta is already near its extreme and has little room left to move — making high gamma a real, independent source of risk beyond simple price direction.