Gamma - Gamma defines the relationship between Delta and the underlying security. If delta is 0.5 and Gamma is 0.02 and the underlying security rises by $1.00 then delta will be 0.52. Gamma is greatest for at the money options but approaches zero for deep in the money or deep out of the money options, which means delta will change quickly for at the money options but slowly for deep in the money or out of the money options.
