Options with the highest gamma are the most responsive to changes in the price of the underlying stock. As we've mentioned, delta is a dynamic number that 

The trading strategies of the desks to a large extent center around the gamma With markets going up the trader is selling at a high [sell at a high while have  26 Feb 2019 The big lie on Wall Street is that options trading is too complex for average Gamma is generally at its highest for at-the-money options. On the  The gamma of a portfolio of options on an underlying asset is the rate of change seconds left in the game, its chance of winning is probably very high, say, 95  Thus exposure gets higher with a P&L downturn and lower with a P&L upturn. Hence I wonder who is willing to be short gamma? Is it a bet on a low volatility? Also, 

18 Dec 2019 When gamma is high, risks are high. “While I am not saying that stocks will melt up through the remainder of the year, the possibility of that 

14 Apr 2019 Gamma is at its highest when the price is at the money. Consider a call option on an underlying stock that currently has a delta of 0.4. The XYZ Jan 50 call is trading for $2, has a Delta of .50 and a Gamma of .06. the stock right at a strike at expiration, an option's Gamma will be at its highest as   It generally is at its peak value when the stock price is near the strike price of the When volatility is low, the gamma of at-the-money options is high while the  6 Jan 2020 But the gamma of the option determines how much the risk changes. The higher the gamma, the more delta can change when a stock price 

11 Oct 2019 Gamma measures Delta's rate of change over time as well as the rate of In other words, if the stock's price rose high enough, the seller would 

The gamma of a portfolio of options on an underlying asset is the rate of change seconds left in the game, its chance of winning is probably very high, say, 95  Thus exposure gets higher with a P&L downturn and lower with a P&L upturn. Hence I wonder who is willing to be short gamma? Is it a bet on a low volatility? Also,  18 Dec 2019 When gamma is high, risks are high. “While I am not saying that stocks will melt up through the remainder of the year, the possibility of that  TOP is currently trading at $50, and you are long the 60 call with a Delta of 0.30 The closer your option is to being at-the-money, the higher the Gamma will be.

This is an option chain of MSFT stock options showing an expiration 10 days out. Notice how the ATM strike of $76.50 shows the highest Gamma value of 0.233 

14 Apr 2019 Gamma is at its highest when the price is at the money. Consider a call option on an underlying stock that currently has a delta of 0.4. The XYZ Jan 50 call is trading for $2, has a Delta of .50 and a Gamma of .06. the stock right at a strike at expiration, an option's Gamma will be at its highest as  

In mathematical finance, the Greeks are the quantities representing the sensitivity of the price of Gamma is important because it corrects for the convexity of value . When a trader seeks to In general, the higher the convexity, the more sensitive the bond price is to the change in interest rates. Bond convexity is one of the 

The XYZ Jan 50 call is trading for $2, has a Delta of .50 and a Gamma of .06. the stock right at a strike at expiration, an option's Gamma will be at its highest as   It generally is at its peak value when the stock price is near the strike price of the When volatility is low, the gamma of at-the-money options is high while the  6 Jan 2020 But the gamma of the option determines how much the risk changes. The higher the gamma, the more delta can change when a stock price 

In mathematical finance, the Greeks are the quantities representing the sensitivity of the price of Gamma is important because it corrects for the convexity of value . When a trader seeks to In general, the higher the convexity, the more sensitive the bond price is to the change in interest rates. Bond convexity is one of the  11 Oct 2019 Gamma measures Delta's rate of change over time as well as the rate of In other words, if the stock's price rose high enough, the seller would  14 Apr 2019 Gamma is at its highest when the price is at the money. Consider a call option on an underlying stock that currently has a delta of 0.4. The XYZ Jan 50 call is trading for $2, has a Delta of .50 and a Gamma of .06. the stock right at a strike at expiration, an option's Gamma will be at its highest as   It generally is at its peak value when the stock price is near the strike price of the When volatility is low, the gamma of at-the-money options is high while the  6 Jan 2020 But the gamma of the option determines how much the risk changes. The higher the gamma, the more delta can change when a stock price  Options with the highest gamma are the most responsive to changes in the price of the underlying stock. As we've mentioned, delta is a dynamic number that