Gamma

Gamma describes the curvature of option value with respect to the underlying and helps explain why a delta hedge changes as the market moves. A position can be delta-neutral now but gain or lose from larger movements because of gamma. Under standard plain-option assumptions, long calls and puts have positive gamma and short positions the opposite sign. Near expiry and near the exercise price, gamma can be particularly significant. Managing it may require options as well as underlying assets, since holding the underlying alone provides delta but not option-like curvature.