Gamma

ガンマ。株価の変動に応じてデルタ自体がどれだけ変化するかを示し、ガンマが大きいほどデルタが素早く動く。

Gamma tells you how fast an option's delta will change as the underlying stock moves. If delta is your speed, gamma is your acceleration. An option with a delta of 0.50 and a gamma of 0.05 will see its delta climb to roughly 0.55 after the stock rises one dollar, so your directional exposure keeps growing the more the trade works in your favour.

Gamma is highest for at-the-money options near expiry and much lower for deep in-the-money or far out-of-the-money contracts. Long option holders love this: a small move can suddenly turn a slow-moving position into a fast one. Sellers face the opposite, since a sharp move against a short strike can pile up losses quickly.

A common mistake is judging risk only by today's delta. Right before expiration, gamma explodes, and a stock hovering near the strike can flip your delta between 0 and 1 within hours. If you sell options for the theta, remember you are also short gamma, and one gap on earnings day can wipe out weeks of premium collected.

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