Gamma
The rate at which delta itself changes as the underlying moves.
Formula
\Gamma = \frac{\partial \Delta}{\partial S}The second derivative of the premium with respect to price. Gamma is positive for bought options and negative for sold ones.
How to read the number
Gamma decides how often a hedge has to be rebuilt: the higher it is, the faster the position stops being neutral.
When the metric lies
It peaks at the strike just before expiry. There a small move flips the seller's position, and the loss grows faster than they can react to it.
Also known as: option gamma