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TransMarket Group

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TransMarket Group Interview Question

What is gamma ?

Interview Answer

Anonymous

Oct 1, 2016

The Gamma of a derivative measures by how much delta changes with respect to a small change in the underlying price. Gamma is the essence of optionality; it measures the non-linearity. Also, it is greatest for options that are close to at-the-money. To make it simple, Gamma is the second derivative of delta with respect to the price of the underlying.