ARSENAL > Gamma

Gamma

Trading
Definition
Rate of change of an option's delta. Gamma is highest for at-the-money options near expiration. Long gamma = your delta grows in your favor as the underlying moves; short gamma = your delta works against you.

Dealer gamma exposure is one of the most-watched intra-day market signals. "Long gamma" environments dampen volatility (dealers buy dips, sell rips); "short gamma" amplify it.
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