The Greeks · Lesson 02 of 7 · Concept
Gamma
Gamma is the rate at which delta changes as the underlying moves. The NIFTY 23,350 call on 23 September 2026 carried a gamma of 0.001188 with six days left, so an 89-point rise lifted its delta by roughly 0.106 and added about ₹4.73 to the premium beyond what delta alone accounted for.
NIFTY 23,350 CE, 23 September 2026 · gamma solved with Black-Scholes from the traded premium
Move it
Black-Scholes, not market data — the premiums elsewhere in this topic were traded, these are what the model returns for the inputs you set.
Black-Scholes, European exercise, 6.5% risk-free rate. These are model outputs, not traded prices.
The curvature of the premium line
If delta is the slope of the premium curve, gamma is how fast that slope changes. A position with high gamma has a delta that will not stay where you found it.
Set the days control to twenty and then to two, and watch the curve in the lab go from a gentle bend to a hinge. Gamma concentrates at the money and it concentrates near expiry, and those two effects multiply rather than add.
For a buyer gamma works in their favour: delta grows as the position moves right and shrinks as it moves wrong. For a writer the same curvature runs the other way, which is why a written position that looked balanced in the morning does not stay balanced.
What it was worth on the session
At the open the 23,350 call had a delta of 0.542 and a gamma of 0.001188. The index rose 89.20 points, which lifted delta by about 0.106 — the contract finished the day materially more sensitive to the index than it started it.
The premium effect of that curvature is roughly half of gamma times the square of the move, which comes to about ₹4.73. Against an ₹18.30 change it is not the largest term, but it is the reason a first-order estimate using only the opening delta always understates a move in the holder’s favour.
Common questions
What is gamma in options trading?
Gamma is the rate of change of delta with respect to the underlying. High gamma means delta moves quickly, so the position’s directional exposure changes as the market moves.
Why is gamma highest near expiry?
Close to expiry an option must resolve to either intrinsic value or nothing, so its delta has to travel from around 0.5 to either 1 or 0 over a shrinking range of prices. That compression is what gamma measures, and it peaks at the money on the final day.
Written and maintained by MarketCue research
How these figures are produced
Every price on these pages was traded on the exchange and is read from our own option-chain capture, which records the NIFTY and SENSEX chains once a minute through the session. Each page names the session its figures come from.
Figures that a model produced rather than the market — the Greeks, implied volatility — are labelled as model outputs wherever they appear, and never presented beside traded prices without saying which is which. The pricing is checked against published reference values on every change.
Where our own data cannot support a claim, the page says so instead of generalising. MarketCue is not a registered investment adviser, research analyst or broker under SEBI regulations.