The second-order Greeks

the second-order Greeks

The Greeks of the Greeks: gamma (how fast delta changes as the underlying moves) is the important one, because it means a position's directional exposure is itself unstable - accelerating as the underlying moves, largest at the money and near expiry. The second-order Greeks measure how the first-order exposures change, which is what makes options risk dynamic rather than static, and gamma is where that dynamism turns dangerous.