Course · Act II: Expiration Day · Chapter 8
Option gamma
Gamma, the speed at which delta changes, why it peaks at the money on expiration day, how a 0DTE option can double or vanish in an hour, and pin risk for a short strike.
Key terms
- Gamma
- How much delta changes when the stock moves $1. Largest at the money, close to expiration.
- Positive and negative gamma
- Long options gain delta as the stock moves their way. Short options lose it, so every move works against the seller.
- Pin risk
- Being short an option whose stock closes right at the strike: you do not know until after the close whether you will be assigned.
“Gamma and the Last Hour” is part of the full course: 6 puzzles on option gamma. RocketCo is fictional, and none of this is a trade. Try this act’s free chapter, “Exercise and Assignment”, first.
“Gamma and the Last Hour” is in Act II: Expiration Day. 6 puzzles, unlimited retries.
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