§ 01
| Greek | Measures | Highest When | Critical For |
|---|---|---|---|
| Gamma (Γ) | How fast delta changes per $1 move | ATM, near expiration | Short options sellers (risk of rapid delta shifts) |
| Vega (ν) | $ change per 1% IV change | ATM, far from expiration | Event traders (earnings, FDA decisions) |
| Rho (ρ) | $ change per 1% rate change | ITM, long-dated options | LEAPS and long-duration positions |
§ 02
Gamma is the ‘Greek that kills.’ Near expiration, ATM options have explosive gamma — delta can swing from 0.20 to 0.80 on a small stock move. This is why the last week before expiration is the most dangerous time to be short options.
§ 03
Compare the gamma of an ATM option with 30 days vs. 3 days to expiration. The difference illustrates why ‘gamma risk’ concentrates near expiry.
§ 04
You sold an ATM call with 2 days to expiration. Gamma is 0.15. If the stock moves $3, how much does delta change?
§ 05
§ 06
Gamma, vega, rho — rank their importance to a LONG ATM call holder, 30 days to expiry.
Five questions · AI feedback
Sit with the ideas.
You sold ATM call options with 2 days to expiration. The stock is hovering right at the strike price. Your gamma is extremely high. What is your primary risk?
Why: