From iOptioneer - an advanced option trading reference for iPhone

Gamma indicates how much the delta changes when market moves. Gamma is especially important if you hold a delta neutral position, since it can tell you how quickly your position will lose its delta-neutrality if the market moves.

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You can see a gamma graph of a single call option in this study, you can play with days and volatility parameters to see how they affect gamma.

See also greeks, delta, vega.

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The screenshot shows the following portfolio:




European call struck at 10.000 with expiry in 30 days

This is an excerpt from iOptioneer option trading reference application. In order to build the real-time dynamic strategy graph and run simulations you will need to download the application from App Store.

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