Glossary Detail: Gamma
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Backtesting Gamma on High-Beta Names
Rate of change of Delta per $1 stock move. Highest for ATM options near expiration — drives explosive moves and dealer hedging dynamics.
Further Details:
Gamma measures how much Delta changes for each $1 move in the underlying. It's the second derivative of option price with respect to stock price. Gamma is highest for at-the-money options near expiration, where small stock moves cause large Delta swings.