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Definition: Gamma distribution is a distribution that arises naturally in processes for which the waiting times between events are relevant. It can be thought of as a waiting time between Poisson distributed events. Probability density function: The waiting time until the hth Poisson event with a rate of change Î» is.
Because the time to expiration is so short, the gamma of the 615 options and any other near-the-money options will be very high. Gamma is the risk variable that measures how much an option's stock price sensitivity (its delta) will change for each point move in the underlying.