7 Common Trading Terms and Definitions

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5. Gamma value

Gamma value shows the change of the delta value of an option when the security price increases or decreases. For example, a gamma value of 0.03 indicates that the delta value of this option will increase by 0.03 when the security price goes up by $1. Option, which has a longer time to expiry, has a lower value of gamma than an option, which has a shorter time to expiry. The gamma value also changes significantly when the security price moves near the option strike price.

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