Gamma option greek
Gamma shows the rate of change of the delta with a change of the price of the underlying asset by 1 point. Mathematically, gamma represents the first derivative of the delta with respect to the underlying asset price and the second derivative of the option price with respect to the underlying asset price. In other words, the gamma shows the sensitivity of the delta to the price movement of the underlying asset.
Gamma can be used to evaluate the stability of a delta neutral strategy. If the gamma is high, additional hedging may be required more often to keep the strategy neutral.
At-the-money options have the highest gamma