Gamma near expiry
Definition · Level 5 · Greeks & volatility
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Near the money, gamma rises sharply as expiry approaches: a zero-days option’s delta can jump from about 0.50 to nearly 1 on a small move. Far from the strike, gamma shrinks toward zero.
Example
One hour left: a 0.5% rise takes an at-the-money call from delta 0.50 to about 0.97.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Gamma: the accelerator”: Why delta moves, who gains from it, and where it is largest.
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