Gamma (Γ)
The acceleration of your P&L — how quickly your directional exposure itself changes.
The rate of change of Delta for a ₹1 change in the underlying.
Overview
Gamma is a second-order greek: it measures how much Delta changes when the underlying moves by ₹1. If Delta is speed, Gamma is acceleration.
High gamma means your directional exposure shifts rapidly — a small move in the underlying can swing you from mildly to strongly long or short. Gamma is largest for at-the-money options and grows explosively as expiry approaches.
Option buyers are always long gamma (their position curves in their favour); option sellers are short gamma (the position curves against them). This is the mathematical reason selling options “feels safe until it suddenly doesn’t”.
A plain-language example
You are long a NIFTY 24,000 call with delta +50 and gamma +5.
NIFTY rises ₹1: your delta becomes about +55, so the next ₹1 up earns you more than the last — profits accelerate.
NIFTY falls ₹1 instead: your delta drops to about +45, so each further point down costs you less — losses decelerate. That favourable curvature is what “long gamma” buys you.
Always ≥ 0 for a long option · Peaks at-the-money · Rises sharply into expiry · Near zero for deep ITM/OTM.
Buyers vs sellers
If you buy the option
Buying options (calls or puts) is long gamma — convexity works for you.
If you sell the option
Selling options is short gamma — convexity works against you.
What moves Gamma
| When… | Effect on Gamma |
|---|---|
| Option near-the-money | Gamma is highest — delta is most unstable here |
| Approaching expiry | ATM gamma spikes; delta can flip 0↔1 in a single move |
| Deep ITM or OTM | Gamma fades to ~0 — delta is already pinned at ±1 or 0 |
| Rising implied volatility | Spreads gamma across a wider range, lowering the ATM peak |
Gamma at a glance
How traders use it
- Long-gamma positions profit from movement and choppiness; short-gamma positions profit from stillness but must be actively managed.
- “Gamma scalping” = holding long gamma and repeatedly re-hedging delta to harvest the convexity as the market oscillates.
- Sellers watch expiry-day gamma closely: an ATM short option can turn a calm P&L into a fast loss on a single sharp move.
Watch out for
- Short-gamma income (from theta) looks steady right up until a large move — the risk is hidden in the tails, not the average day.
- Gamma is highest exactly when you have least time to react (expiry day), so position sizing matters more than usual.
See Gamma on a live position
Open the Strategy Builder, add a leg, and hover the Gamma row in the Greeks tab to watch it update in real time.
Educational content only — not investment advice. All values are illustrative and do not reflect live quotes. Options carry significant risk; consult a registered adviser before trading.