Explain 'Greeks: Gamma' conceptually.
Explain 'Greeks: Gamma' conceptually.
Approach: Describe the stability of Delta.
Gamma is the acceleration of the option price relative to the underlying. It tells you how much you need to adjust your delta hedge as the stock price moves.
Follow-up: Is Gamma positive or negative for a short option position?
Key concepts: convexity, hedging error, curvature.