What is Gamma??
The term in relation to options is the rate of change in the delta of the option itself. In essence the rate of change in relation to the rate of change in relation to a one point move up or down on the underlying. In position trading it is extremely important. The Gamma of a position apprises the trader of how sensitive the options are to a change in movement of the underlying.
The Deltas will change by X amount as the underlying rises or falls.
To read more about Gamma, check out these stories:?
Options Playbook Radio 7: Meet the Greeks, Part Two: Gamma
Gamma Of Volatility Gets Pasted ? For Now
Option Block 314: Late-Night Gamma Scalping