InvestorQ : Is delta the same as gamma of options or is it something different?
indhumathi Sayani made post

Is delta the same as gamma of options or is it something different?

Answer
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shrinidhi Rajan answered.
2 years ago


No they are not the same although they are related to each other. While delta is the first derivative, gamma is the second derivative. Any discussion on delta will be incomplete without a discussion on Gamma because while Delta measures the sensitivity, the gamma measures the acceleration. Technically speaking the gamma is the second derivative and measures the sensitivity of the option price to changes in delta. Gamma has a high relationship with volatility. When the volatility tends to be high, the gamma tends to be stable as a lot of value is already built into the time value. This is a useful input for options traders.

The Indian Futures and Options market is just about 15 years old. However, in the last few years, the F&O market (especially the Index options market) accounts for over 85% of the daily volumes on the NSE. With the F&O increasingly becoming a key and driving feature of Indian markets, it is essential to understand how key aspects of the F&O market gives us interesting clues about the emerging picture of the stock markets.