Delta and gamma

How option prices react to the market

Professional - Gold & Platinum

In this lesson

Use delta to estimate option price moves and position exposure, and gamma to see how fast that exposure changes.

Key takeaways

Delta ≈ change in option price for a $1 move in the underlying (calls 0 to 1, puts 0 to −1).
At-the-money options have delta near ±0.5; delta is also a rough guide to the chance of finishing in the money.
Position delta = contracts × multiplier × delta: your equivalent exposure.
Gamma is highest at the money near expiry; buyers are long gamma, sellers short gamma.

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