Chapter 05 · Section 5.1

The gamma profile

The top picture represents a call option 30 days before expiration with an exercise price of 100, the bottom graphic represents the gamma profile of the call.

The gamma factor describes the expected change in delta resulting from a one unit change in the price of the underlying.

The gamma profile resembles the bell curve. Its maximum occurs when the call is at the money. As the call moves deep in-the-money or deep out-of-the-money the gamma approaches zero. It is not however, always symmetrical about the center axis (at-the-the-money).