Gamma

Gamma measures the rate of change of delta, how much an option's delta shifts for every $1 move in the underlying stock. It is highest for ATM options close to expiration, and lowest for deep ITM or far OTM options with lots of time remaining.

If a call has a delta of 0.50 and a gamma of 0.06, a $1 rise in the stock increases the delta to 0.56.

Why it matters: Gamma is what makes short-dated options, especially 0DTE, dangerous for sellers. High gamma means delta can shift rapidly, turning a position that looked safely OTM into a losing trade within hours. It also means positions can move against you faster than you can react.

Long gamma: Buying options gives you positive gamma. As the stock moves in your direction, your delta increases, profits accelerate. This is sometimes called being "long convexity."

Short gamma: Selling options gives you negative gamma. As the stock moves against you, your delta worsens, losses accelerate. This is the core risk of selling naked options or short straddles.

Gamma and time: Gamma accelerates dramatically as expiration approaches, particularly for ATM options. An ATM option with 1 day to expiry can have gamma 5–10× higher than the same option with 30 days to expiry.

Example: You sell an ATM 0DTE SPY put with a delta of −0.50 and gamma of 0.15. SPY drops $3. Your delta is now approximately −0.95, your position is behaving almost like being short 95 shares. A further $1 drop costs you nearly $95 per contract. Gamma has dramatically amplified your exposure.

Related terms: Delta, 0DTE, theta, short straddle, long straddle

Try it on Stryke: Monitor gamma risk across positions in the Options Screener, especially near expiration.