What is the difference between Delta and Gamma in options?

What is the difference between Delta and Gamma in options?

Approach: Compare the first and second-order derivatives of option price.

Delta measures the rate of change of the option price with respect to the underlying asset's price. Gamma measures the rate of change of Delta with respect to the underlying asset's price, representing the convexity of the option value.

Follow-up: When is Gamma highest for an option?

Key concepts: sensitivity, hedging, convexity.