Currency Option Gamma

Gamma
Gamma (Г) is also known as the curvature of the option. It is the second derivative of the option-pricing model and is the rate of change of an option's delta, or the sensitivity of the delta. For instance, an option with delta = 0.5 and gamma = 0.05 is expected to have a delta = 0.55 if the currency rises by 1 point, or a delta = 0.45 if the currency decreases by 1 point.
Gamma ranges between 0 percent and 100 percent. The higher the gamma, the higher the sensitivity of the delta. It may therefore be useful to think of gamma as the acceleration of the option relative to the movement of the currency.

Currency Options

Currency Option Delta

Currency Option Gamma

Currency Option Vega

Currency Option Theta