Gamma

The rate of change for delta with respect to the underlying asset's price. Gamma is an important measure of the convexity of a derivative's value, in relation to the underlying. In a delta-hedge strategy, gamma is sought to be reduced in order to maintain a hedge over a wider price range. A consequence of reducing gamma, however, is that alpha too will be reduced.

Mathematically, gamma is the first derivative of delta and is used when trying to gauge the price movement of an option, relative to the amount it is in or out of the money. When the option being measured is deep in or out of the money, gamma is small. When the option is near or at the money, gamma is at its largest. Gamma calculations are most accurate for small changes in the price of the underlying asset.


Investment dictionary. . 2012.

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  • gamma — [ ga(m)ma ] n. m. • transcrit 1824; mot gr. 1 ♦ Troisième lettre de l alphabet grec (Γ, γ), correspondant au G [ g ] . 2 ♦ POINT GAMMA.Astron. Intersection de l écliptique avec le plan de l équateur. ⇒ vernal. Arg. scol. Fête de l École… …   Encyclopédie Universelle

  • Gamma — (uppercase Gamma;, lowercase gamma;; el. Γάμμα) is the third letter of the Greek alphabet. In the system of Greek numerals it has a value of 3. It was derived from the Phoenician letter Gimel Ґ. In Modern Greek, it represents either a voiced… …   Wikipedia

  • gamma (1) — {{hw}}{{gamma (1)}{{/hw}}A s. m. inv. Nome della terza lettera dell alfabeto greco. B  in funzione di agg. inv.  ( posposto a un s. ) (fis.)  Nella locuz. raggi –g, radiazioni elettromagnetiche ad alta frequenza che si generano nel nucleo atomico …   Enciclopedia di italiano

  • Gamma-GT — Gamma glutamyl transpeptidase La gamma glutamyl transferase (GGT ou GGTP, ou Gamma GT ou γ GT, etc.) (EC 2.3.2.2) est une enzyme hépatique. Cette enzyme est également présente dans d autres tissus, tels l épididyme. La détermination de son… …   Wikipédia en Français

  • Gamma GT — Gamma glutamyl transpeptidase La gamma glutamyl transferase (GGT ou GGTP, ou Gamma GT ou γ GT, etc.) (EC 2.3.2.2) est une enzyme hépatique. Cette enzyme est également présente dans d autres tissus, tels l épididyme. La détermination de son… …   Wikipédia en Français

  • gamma — gam ma (g[a^]m m[.a]), n. The third letter ([Gamma], [gamma] = Eng. G) of the Greek alphabet. [1913 Webster] …   The Collaborative International Dictionary of English

  • gamma — third letter of the Greek alphabet, c.1400, from Gk. gamma, from Phoenician gimel, lit. camel (see CAMEL (Cf. camel)); so called for a fancied resemblance of its shape to some part of a camel. Gamma rays (1903) originally were thought to be a… …   Etymology dictionary

  • Gamma [2] — Gamma, der dritte Buchstabe des griech. Alphabeths (Γ, γ), entsprechend dem »G«. – In der Musik war G. früher der Name des unserm großen G entsprechenden Tones. Da bis zum 14. Jahrh. dieser Ton nach der Tiefe die Grenze blieb, so erhielt »gamme«… …   Meyers Großes Konversations-Lexikon

  • gamma — s.f. [dal nome della lettera gr. Γ, gamma maiusc., che nella notazione musicale gr. indicava il suono fondamentale (sol ) nel sistema teorizzato da Pitagora]. 1. (mus.) a. [successione ordinata dei suoni di un sistema musicale] ▶◀ scala… …   Enciclopedia Italiana

  • gamma — {{/stl 13}}{{stl 8}}rz. ż Ia, CMc. gammie, blm {{/stl 8}}{{stl 7}} trzecia litera alfabetu greckiego <gr.>{{/stl 7}}{{stl 17}}ZOB. {{/stl 17}}{{stl 7}}promienie [promieniowanie] gamma {{/stl 7}} …   Langenscheidt Polski wyjaśnień

  • gamma — (Del gr. γάμμα). 1. f. Tercera letra del alfabeto griego (Γ, γ), que corresponde a g del latino. 2. Unidad de medida, no aceptada por el Sistema Internacional de unidades, equivalente a una millonésima de gramo. ☛ V. rayos gamma …   Diccionario de la lengua española

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