Color (gamma decay)
Color, or gamma decay, is the third-order option greek that measures how an option's gamma changes as time passes. Near the money gamma rises as expiry approaches, while away from the money it collapses, which is why short-dated gamma concentrates on a few strikes in the final hours of a session.
Senzoukria · Glossary · Updated September 2026
At a glance
- Definition
- Change in gamma as calendar time passes
- Black-Scholes, r = q = 0
- dΓ/dt = Γ·(1 − d1·d2) / (2τ) per year
- Also called
- Gamma decay, DgammaDtime
Formula and sign convention
Gamma depends on time to expiry τ, so it changes every day even if spot and implied volatility do not. With zero rate and dividend, the Black-Scholes derivative of gamma with respect to elapsed time is Γ·(1 − d1·d2)/(2τ) per year; dividing by 365 gives a per-day change. References disagree on the sign: some publish color as the derivative with respect to time to expiry, which is the same number with the opposite sign. Always check which convention a table uses before comparing values.
Worked example
Spot 100, implied volatility 20%, zero rates. The table compares an at-the-money option and one struck 3% away as a day passes. At the money the product d1·d2 is close to zero, so gamma grows by roughly Γ/(2τ) per unit of time; away from the money d1·d2 exceeds one close to expiry and gamma falls.
| Strike | Days to expiry | Gamma today | Gamma one day later |
|---|---|---|---|
| 100 | 10 | 0.120 | 0.127 |
| 100 | 2 | 0.269 | 0.381 |
| 103 | 10 | 0.082 | 0.083 |
| 103 | 2 | 0.037 | 0.007 |
What it means for 0DTE and expiry days
Color is the mechanism behind the common observation that gamma on expiring options piles up at the strikes nearest to spot and vanishes elsewhere. On the last day the gamma of an at-the-money option can be several times what it was a week earlier, while an option a few percent away has almost none. Any exposure figure that includes same-day expiries therefore changes shape through the session without a single new position being opened, and a level read in the morning may not describe the afternoon.
In Senzoukria
Senzoukria does not display color as a number, but its GEX module exposes the effect. The Calculation assumptions panel lets you include, exclude or isolate 0DTE, and its hint notes that gamma on options expiring today explodes near the money in the last hours and can dominate the total. The Gamma through the session view on the By price page records one column per minute, with time across, price up and exposure in colour, so the build-up or fading of gamma at a price can be seen as it happens.
Related
In the same section
- COT report
- Colocation
- Composite profile
- Collar
- Concurrent login limit
- CME trading hours
- Confidence interval
- CME session open
This page in other languages
Frequently asked questions
- Why does at-the-money gamma increase as expiry approaches?
- Because an at-the-money option's delta must end at either 0 or 1. With less time left, a smaller move in spot is needed to push it one way or the other, so delta becomes more sensitive to spot, which is what higher gamma means.
- Is color relevant for monthly options far from expiry?
- Much less. With weeks or months left, gamma changes slowly from one day to the next. Color becomes large in the last days of an option's life, which is why it matters most for weekly and same-day expiries.