What is an option's gamma, in plain words?
Gamma measures how much an option's delta changes for a $1 move in the stock: the delta of the delta 1 2. It is highest for options at the money, whose deltas are the most sensitive to the stock's price 1, and a bought option's gamma is positive 1.
A call with a $50 strike at 30% implied volatility (made-up numbers). Move the stock and the days left, and watch delta and gamma.
Gamma in numbers
With the stock at $50 and 30 days left, the call above has a delta of 0.53 and a gamma of 0.092 by the formula 3: after a $1 rise its delta is about 0.62. That is why the estimate delta gives drifts on a bigger move 1.
Near expiry
By the formula, the same call's gamma at the strike rises from 0.053 with 90 days left to 0.192 with 7 3: close to expiry, delta jumps between near 0 and near 1 as the stock crosses the strike. Move the days down to see the peak sharpen.
What this shows, and what it doesn't
The formula's gamma for one strike and one volatility. For the seller of the same option every sign flips, by simple arithmetic: their delta moves against them as the stock moves.
Go further
Sources (3), checked 20 October 2026 and 27 October 2026
- CME Group, “Options Gamma – The Greeks” (Option Greeks course). Read it (read 27 October 2026)
- The Options Industry Council, “Options Glossary”. Read it (read 27 October 2026)
- Fischer Black and Myron Scholes, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81(3), 637–654, 1973. Read it (read 20 October 2026)
Now try it on a scenario of your own
Pick where a simulated stock might be, and by when: drag one dot and see, side by side, what buying shares, one option, or a pair of options (a call or put spread) would each do. Free, no sign-up.
Check a trade before you make it →