Gamma
- Japanese
- ガンマ
- Last reviewed
- September 25, 2026
This is a draft, shown for review before publication.
Gamma is a measure of how much an option's delta changes when the price of the underlying asset moves a little. It is positive for a bought option and is large when the underlying price is near the strike price.
Related terms
Explained in detail
Pages that use this term
- Barrier Options
- Lookback Options
- Target Redemption Forward (TARF)
- Overview of Exotic Equity Products
- Variance Swaps and Volatility Swaps
- Worst-of Options
- Autocallables
- Convertible Bonds (CB)
- Implied Volatility
- Collateral and Discounting
- ISDA SIMM: The Standard Model for Initial Margin
- Finite Difference Methods
- Delta Hedging
- Managing Gamma and Vega
- Volatility Trading
- Sensitivities: DV01, Vega and Key Rate Sensitivities
- P&L Attribution
- Daily Valuation and P&L Sign-Off