Gamma (Γ) is an options risk metric that describes the rate of change in an option’s delta per one-point move in the underlying asset’s price.
Gamma measures the rate of change in the delta with respect to changes in the underlying price. Gamma is the second derivative of the value function with respect to the underlying price.
\(\Gamma = \frac{\partial\Delta}{\partial S} = \frac{\partial^{2}V}{\partial S^{2}}\)
Bibliography
“Greeks (Finance).” 2022. Wikipedia, October. https://en.wikipedia.org/w/index.php?title=Greeks_(finance)&oldid=1119146188.
“What Is Gamma in Investing and How Is It Used?” n.d. Investopedia. Accessed November 7, 2022. https://www.investopedia.com/terms/g/gamma.asp.