Gamma Calculator

✖Change in Delta refers to the rate of change in the sensitivity of an option's price to changes in the underlying asset's price or other factors.ⓘ Change in Delta [%Δ]			+10% -10%
✖Change in Price of Underlying Asset denotes the movement or fluctuation in the market value of the asset upon which derivative contracts are based.ⓘ Change in Price of Underlying Asset [ΔS]			+10% -10%

✖Gamma refers to the rate of change in an option's delta in response to a change in the price of the underlying asset.ⓘ Gamma [Γ]

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Formula

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Gamma

Formula

Γ = \frac{%Δ}{ΔS}

Example

0.002 = \frac{0.05}{25}

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Gamma Solution

STEP 0: Pre-Calculation Summary

Formula Used

Gamma = Change in Delta/Change in Price of Underlying Asset
Γ = %Δ/ΔS
This formula uses 3 Variables

Variables Used

Gamma - Gamma refers to the rate of change in an option's delta in response to a change in the price of the underlying asset.
Change in Delta - Change in Delta refers to the rate of change in the sensitivity of an option's price to changes in the underlying asset's price or other factors.
Change in Price of Underlying Asset - Change in Price of Underlying Asset denotes the movement or fluctuation in the market value of the asset upon which derivative contracts are based.

STEP 1: Convert Input(s) to Base Unit

Change in Delta: 0.05 --> No Conversion Required
Change in Price of Underlying Asset: 25 --> No Conversion Required

STEP 2: Evaluate Formula

Substituting Input Values in Formula

Γ = %Δ/ΔS --> 0.05/25

Evaluating ... ...

Γ = 0.002

STEP 3: Convert Result to Output's Unit

0.002 --> No Conversion Required

FINAL ANSWER

0.002 <-- Gamma

(Calculation completed in 00.004 seconds)

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Credits

Created by Keerthika Bathula

Indian Institute of Technology, Indian School of mines, Dhanbad (IIT ISM Dhanbad), Dhanbad

Keerthika Bathula has created this Calculator and 50+ more calculators!

Verified by Nayana Phulphagar

Institute of Chartered and Financial Analysts of India National college (ICFAI National College), HUBLI

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International Fischer Effect using Spot Rates

Go Change in Exchange Rate = (Current Spot Exchange Rate/Spot Rate in Future)-1

Gamma Formula

Gamma = Change in Delta/Change in Price of Underlying Asset
Γ = %Δ/ΔS

What is Gamma ?

Gamma in international finance refers to the rate of change of an option's delta concerning changes in the price of the underlying asset. It measures the sensitivity of delta to movements in the underlying asset's price, indicating how quickly delta will change with price fluctuations. High gamma implies that delta will change significantly with small price movements, increasing the option's sensitivity to market changes and potential profits or losses. On the contrary, low gamma suggests slower changes in delta, indicating reduced sensitivity and risk exposure. Understanding gamma is crucial for option traders as it helps assess risk, manage portfolios effectively, and make informed decisions regarding options strategies based on market conditions and risk tolerance.

How to Calculate Gamma?

Gamma calculator uses Gamma = Change in Delta/Change in Price of Underlying Asset to calculate the Gamma, The Gamma formula refers to the rate of change in an option's delta in response to a change in the price of the underlying asset. Gamma is denoted by Γ symbol.

How to calculate Gamma using this online calculator? To use this online calculator for Gamma, enter Change in Delta (%Δ) & Change in Price of Underlying Asset (ΔS) and hit the calculate button. Here is how the Gamma calculation can be explained with given input values -> 0.002 = 0.05/25.

FAQ

What is Gamma?

The Gamma formula refers to the rate of change in an option's delta in response to a change in the price of the underlying asset and is represented as Γ = %Δ/ΔS or Gamma = Change in Delta/Change in Price of Underlying Asset. Change in Delta refers to the rate of change in the sensitivity of an option's price to changes in the underlying asset's price or other factors & Change in Price of Underlying Asset denotes the movement or fluctuation in the market value of the asset upon which derivative contracts are based.

How to calculate Gamma?

The Gamma formula refers to the rate of change in an option's delta in response to a change in the price of the underlying asset is calculated using Gamma = Change in Delta/Change in Price of Underlying Asset. To calculate Gamma, you need Change in Delta (%Δ) & Change in Price of Underlying Asset (ΔS). With our tool, you need to enter the respective value for Change in Delta & Change in Price of Underlying Asset and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.

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