Gamma (option greek)
Gamma is the option greek that measures how fast an option's delta changes as the underlying price moves. Long calls and long puts have positive gamma, short positions have negative gamma, and it is largest for options near the money and close to expiry. Gamma exposure aggregates this quantity across a whole chain.
Senzoukria · Glossary · Updated September 2026
What gamma measures
Delta is the sensitivity of an option's price to a move in the underlying; gamma is the sensitivity of that delta to the same move. An option with high gamma sees its delta swing quickly as price passes the strike, so a hedger holding it must adjust the hedge often. An option with low gamma, far from the money or far from expiry, has a delta that barely reacts.
Gamma is an output of a pricing model, not a quantity the exchange publishes. It depends on the model chosen, on the implied volatility fed into it, on the time left to expiry and on the distance between spot and strike. Change any of those and the gamma changes.
- Positive for long options, negative for short options, whether calls or puts.
- Highest at the money; it falls away on both sides.
- Rises sharply as expiry approaches for near-the-money strikes, which is why same-day expiries can dominate a total.
Gamma versus gamma exposure
Gamma exposure is gamma scaled by contracts and multiplier, signed by an assumed position, and summed. The greek is well defined for a single position; the aggregate inherits every assumption made along the way.
| Gamma | Gamma exposure (GEX) | |
|---|---|---|
| Scope | One option contract | All options in the chosen expiry scope |
| Source | Pricing model | Pricing model plus a positioning assumption |
| Sign | Long or short the option | Assumed dealer side per strike |
| Units | Delta change per unit of underlying | Often dollars per one-percent move |
In Senzoukria
In the GEX module of the desktop application, gamma is one of the model outputs shown on the 'Gamma surface', alongside vanna and charm; the surface legend states that gamma, vanna and charm are model output computed from the assumptions above, while open interest and implied volatility come from the chain as published. The assumptions panel includes the note that gamma comes from the model, not from the exchange, and that two defensible models on the same chain place the key levels a few points apart.
The same panel exposes the choice that matters most for the greek: whether options expiring today are included. Their gamma explodes near the money in the last hours and can dominate the total; included, the profile describes the afternoon, excluded, it describes the week.
Common mistakes
- Treating gamma as a fixed property of a strike rather than a value that moves with spot, volatility and time.
- Assuming calls have positive gamma and puts negative; the sign comes from being long or short, not from the option type.
- Reading a single option's gamma as if it described dealer positioning.
- Holding gamma constant across a large move; the greek itself changes and the Greeks must be recalculated.
Related
- What is gamma exposure
- GEX workspace
- Gamma exposure (GEX)
- Gamma walls explained
- Volatility skew explained
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Frequently asked questions
- Why does gamma matter for a futures trader who never trades options?
- Because hedgers of large options books adjust their futures or cash positions as delta changes, and gamma sets how much they adjust per point of movement. That hedging is one modelled source of flow near certain strikes. The model does not say when, where or through which instrument a hedge happens; the tape does.
- Is gamma the same across pricing models?
- No. Gamma depends on the model and on the implied volatility used, so a Black-Scholes gamma and a gamma from a model with a volatility smile differ for the same option. The differences are usually small far from expiry and larger for short-dated near-the-money strikes.