Compare
| 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 |
Key point
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.
Try it
Compare the gamma of an ATM option with 30 days vs. 3 days to expiration. The difference illustrates why ‘gamma risk’ concentrates near expiry.
Check-in
You sold an ATM call with 2 days to expiration. Gamma is 0.15. If the stock moves $3, how much does delta change?
Key insight
Check-in
Gamma, vega, rho — rank their importance to a LONG ATM call holder, 30 days to expiry.
Check your understanding
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: