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Gamma measures how fast an option's Delta changes as the underlying moves. If Delta tells you an option's current sensitivity to price, Gamma tells you how quickly that sensitivity itself is changing.

Gamma is the rate of change of Delta for every 1-point move in the underlying. A call with a Delta of 0.53 and a Gamma of 0.00092 means that if the underlying rises by 1 point, the Delta itself is expected to rise to roughly 0.53092. It's a small number on a per-point basis, but it compounds — over a 100-point move, that Delta shift adds up to something meaningful, as the worked example below shows.

Gamma is what makes an option's price curve rather than move in a straight line as the underlying changes. A few practical readings:

1. High Gamma means Delta is changing fast. The option's directional sensitivity is shifting quickly as the underlying moves, which also means its price is curving noticeably rather than moving linearly.
2. Gamma is highest for at-the-money options, and highest of all for at-the-money options close to expiry — this is when small moves in the underlying can swing an option from likely-worthless to likely-in-the-money fastest.
3. Option buyers are "long Gamma" and benefit from this curvature; option sellers are "short Gamma" and are exposed to it working against them, especially near expiry.

Using the same setup as the Delta page: Nifty at 24,000, 7 days to expiry, 13% implied volatility. The at-the-money 24,000 call has a Delta of 0.531 and a Gamma of 0.00092.

1. Nifty rises by 100 points, to 24,100.
2. Gamma predicts the new Delta should be roughly 0.531 + (0.00092 × 100) = 0.623.
3. The option's actual new Delta comes out to 0.621 — very close to the Gamma-based prediction, with only a tiny residual gap from Gamma itself changing slightly over that same 100-point move.
4. This is exactly the curvature Delta alone missed on the Delta page's worked example — Gamma is what accounts for it.

Using the same Nifty setup across a range of strikes:

Gamma peaks exactly at the at-the-money strike (24,000) and falls off on both sides — this shape is symmetric and holds for both calls and puts at the same strike, unlike Delta, which differs by option type.

This is the single most important practical fact about Gamma: it grows dramatically for at-the-money options as expiry approaches. Holding spot, strike (at-the-money, 24,000), and 13% IV fixed, and only changing days to expiry:

Gamma more than quintuples from 30 days out (0.00044) to 1 day out (0.00244). This is exactly why option sellers are warned to watch expiry week closely: at-the-money short options carry the least predictable, fastest-swinging Delta right when there's the least time left to react.

Unlike Delta, which differs in sign between calls and puts, Gamma is identical for a call and a put at the same strike, expiry, and volatility:

This is a direct consequence of the same put-call parity relationship behind the Delta identity on the Delta page — since a put's Delta only differs from a call's Delta by a constant (minus 1), the rate of change of that Delta (Gamma) is unaffected, and comes out identical either way.

Gamma risk shows up most clearly in strategies built around selling options near expiry:

• A Short Straddle or Iron Condor held into the final days before expiry is short Gamma at the worst possible time — small moves in the underlying can swing the position's Delta (and P&L) sharply.
• A Long Straddle is long Gamma — that same curvature works in the buyer's favor, which is part of why it can profit from a big move regardless of direction.
• This is also why many traders specifically avoid holding short-Gamma positions through the last day or two before expiry, when Gamma is at its most extreme for at-the-money strikes.

• Gamma itself changes as the underlying moves — the prediction in the worked example above has a small residual gap for exactly this reason, the same way Delta's own straight-line prediction has a gap that Gamma explains.
• Gamma is most extreme for at-the-money options very close to expiry — this is when short-option positions face the fastest, least predictable swings in Delta.
• High Gamma exposure often requires active monitoring, particularly for sellers, since the position's directional sensitivity can shift meaningfully within a single trading session.