Gamma of a Call (1)
(1) The change in delta divided by the dollar change in the underlying instrument's price. The second derivative of the option price with respect to the price of the underlying. A measurement of the rate of change of the rate of change in the option price with respect to the underlying price. If the gamma of a position is positive, an instantaneous move either up or down in the underlying will give the position a higher value than the static delta would predict. A positive gamma indicates a position with positive convexity. Also called Curvature. See also Convexity (2). DeltaGammaKappaRho Hedge. (2) The smallest electronically quoted stocks on the London Stock Exchange. See also alpha (a), beta (b), and delta (D).
