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Gamma
Since delta is such an important factor, option traders are also interested in how delta may change as the price moves. Gamma measures the rate of change in the delta for each one-point increase in the underlying asset. It is a valuable tool in helping you forecast changes in the delta of an option or an overall position. Gamma will be larger for the at-the-money options, and gets progressively lower for both the in- and out-of-the-money options. Unlike delta, gamma is always positive for both calls and puts.
Notes and references
- http://www.investopedia.com/articles/optioninvestor/04/121604.asp
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