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Gamma
Gamma measures how much an option's Delta is expected to change when the underlying asset price changes by $1, assuming other relevant factors remain unchanged. Example An option has: Delta = 0.50 Gamma = 0.05 If the underlying rises by approximately $1, the Delta might move from roughly: 0.50 to 0.55 under the simplified Greek approximation.
Why it matters to you
Delta tells you the option's current directional sensitivity. Gamma tells you how quickly that sensitivity can change as the underlying moves. This makes Gamma particularly important for options close to expiration or near the money, where Delta can sometimes change rapidly.