Gamma - futures trading

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The instantaneous rate of change of an options delta with respect to a 1% change in the price of its underlying.

*If the delta is the velocity of option price change to its underlying price, gamma can be thought of as acceleration of an options price change to its underlying price.

*Gamma is the second derivative of underlying price action.

Created by  sands , February 21st, 2014 at 07:24 AM
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