Gamma(Γ)
Gamma measures how fast an option's Delta changes for a ₹1 move in the underlying — the acceleration behind directional exposure.
Γ = ∂Δ / ∂(Underlying Price) = ∂²(Option Price) / ∂(Underlying Price)²What Gamma Means
Gamma is the second-order Greek: it measures how much an option's Delta changes for every ₹1 move in the underlying. If a Nifty call has a Delta of 0.50 and a Gamma of 0.02, then a ₹1 rise in Nifty pushes Delta to roughly 0.52. Gamma is the curvature behind Delta — the acceleration of your directional exposure.
Gamma is highest for at-the-money options and falls off for deep in-the-money or far out-of-the-money strikes. It also rises sharply as expiry nears, because ATM Deltas flip between 0 and 1 with the smallest spot moves on the final day.
Why Gamma Matters
High Gamma is a double-edged sword. Long-option buyers love it — small moves in the underlying produce outsized Delta gains. Option sellers fear it — a short straddle that looks safe in the morning can blow up by afternoon as Gamma whips Delta against the position. This is the core risk of weekly expiry selling.
Gamma in the Indian Market
On NSE weekly Thursday expiry, ATM Nifty and BankNifty options carry extreme Gamma in the last hour, which is why expiry-day premiums swing violently on tiny index moves. Gamma scalpers exploit this by staying long options and trading the underlying to harvest the Delta swings. Quintal Mind shows live per-strike Gamma so you can see exactly where the curvature is concentrated before entering an expiry-day trade.
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