Gamma - the rate of change of delta to the underlying
as mention above the delta changes as it becomes more ITM or more OTM
we know that ATM option is 0.5 and as it gets more ITM it moves towards 1 and as it gets more OTM it moves towards 0. Knowing this should be enough for most stuff except things like gamma neutral strategies
as mention above the delta changes as it becomes more ITM or more OTM
we know that ATM option is 0.5 and as it gets more ITM it moves towards 1 and as it gets more OTM it moves towards 0. Knowing this should be enough for most stuff except things like gamma neutral strategies