Convexity (options)

Property of an option that its price changes nonlinearly with the underlying. Long options have positive convexity (gain more on big moves than they lose on small moves); short options have negative convexity (lose more on big moves than they gain on small moves).

Mathematically captured by gamma. Convexity makes options behave very differently from linear instruments — you can be right on direction but wrong on speed or magnitude and lose money on long calls.