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Gamma Option Greek

Gamma measures the change in the Delta of an Option to change in its underlying.

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Gamma measures the change in another Option greek ‘Delta with respect to the change in the price of the underlying. Delta measures by how much the price of an Option will increase or decrease with a unit change in the price of the underlying.  Gamma measures the speed with which the price of the Option will change with the change in the price of the underlying.

Gamma = Change in an option’s delta/ Unit change in the price of underlying

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