Gamma

Gamma is the rate of change of an option's delta with respect to a change in the price of the underlying asset. It measures the sensitivity of an option's delta to changes in the underlying's price.

Gamma matters because it helps traders understand how quickly an option's delta will change as the underlying asset's price moves. For example, a high gamma position can lead to significant changes in delta, which can amplify gains or losses in the option's value, making it a crucial factor in managing risk and profit in options trading.