Option Gamma
Gamma is how fast delta changes when the underlying moves. High gamma means the option's sensitivity is unstable: a small move in Nifty can turn a 0.30-delta option into a 0.60-delta one.
Where gamma is highest
Gamma is largest for at-the-money options and grows sharply as expiry nears. That is why expiry-day trading is so fast: at-the-money deltas flip between near 0 and near 1 within a few points.
Gamma risk for sellers
Short options are short gamma: as the market moves against them, their losses accelerate. Hedging a short straddle needs frequent adjustment on volatile days for this reason.
Gamma and theta are two sides of one trade
Long options pay theta to own gamma; short options collect theta and carry gamma risk. The two scale together: the strikes with the most gamma also decay fastest.
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What if…
What-if values and the chart use the Black-76 model on the future (rate as set, calendar days), so they can differ slightly from the app's live Greeks.
Gamma for every strike, live
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Frequently asked questions
What is gamma scalping?
Holding long options (long gamma) and trading the underlying against them to stay delta-neutral: you sell futures as the market rises and buy as it falls, locking in gains from the movement to pay for the time decay.
The other Greeks
For information only, not investment advice. Disclaimer