Gamma

Also called Γ, option gamma

How much an option's delta changes for a $1 move in the underlying.

Gamma is the rate at which an option's delta changes as the underlying moves. A call with a delta of 0.50 and a gamma of 0.04 gains about 0.04 of delta for each $1 rise, to 0.54.

Gamma is largest for options at the money and close to expiration. A same-day option at the money can swing from 0.2 to 0.8 delta on a small move, while a far-dated or far out-of-the-money option barely changes.

Why it matters for dealers

A dealer who holds options hedges their delta with the underlying. Because gamma changes delta, the hedge has to be adjusted as price moves, and the size of those adjustments is set by gamma. Summed over a whole chain with each contract's open interest, that's gamma exposure.

In Theta Vantage

The option chain shows each contract's gamma (Γ) under the Columns menu. Theta Vantage computes gamma itself from each contract's implied volatility using Black-Scholes, with time to expiration floored at one hour so a contract minutes from expiring doesn't show an infinite value.