? 2.2 Gamma

Gamma measures the rate of change of delta (the sensitivity of delta) as the share price changes.

? The higher the gamma value, the more sensitive the delta and therefore the more time consuming and expensive (in terms of transaction costs) it is to maintain a delta hedge.

? Gamma is low for deep in or out of the money options (as there is little change in the delta) but high for at the money options.