Gamma risk near expiry

gamma risk near expiry

Where the second-order Greeks turn most dangerous: an at-the-money option near expiry has enormous gamma, so its delta swings between near-0 and near-1 on small underlying moves - the position flipping between barely-exposed and fully-exposed hour to hour. Near-expiry at-the-money positions are the most dynamically dangerous in options, combining gamma instability, pin risk, and the assignment uncertainty of module 3 into the instrument's sharpest hazard.