Glossary term
Gamma
The options Greek measuring the rate of change of delta; highest near at-the-money and near expiry, where short options become most dangerous.
Gamma is the options Greek measuring how fast delta changes as the underlying moves. It is highest for at-the-money options and rises sharply in the final days before expiration, meaning a short option's directional exposure can flip rapidly against the seller. Short-dated gamma is where premium-selling portfolios most often blow up, because a small price move produces an outsized delta swing. See Greeks 101 and Delta.