TL;DR
Gamma is the rate of change of delta. If delta tells you how much an option moves when the stock moves a dollar, gamma tells you how fast delta itself is changing. It's why walls behave like walls — at the strike, dealer hedging gets urgent because gamma is at its peak.
Delta answers “how fast does my option move?” Gamma answers “how fast does that change?” If delta is your speed, gamma is your acceleration. The same way a car going through a sharp turn changes speed quickly, an option near its strike changes delta quickly — and that's the whole story behind why a Runir wall is a wall.
The shape: gamma peaks at the strike
A call deep in the money already has delta near 1. A call deep out of the money already has delta near 0. In both cases, a one-dollar move in the stock barely changes delta at all — gamma is near zero.
But at the strike, delta is sitting at 0.5 and moving fast. A small spot move can swing delta from 0.48 to 0.55 in a blink. That sensitivity is gamma. Plot it across spot and you get a bell curve, centered on the strike, with the peak at the money.
The seat tells you the cost
Just like delta and theta, gamma has two seats. The buyer of an option is long gamma — movement helps them, because every dollar of spot makes their delta richer when they need it. The seller is short gamma — movement hurts them, because their hedge gets out of date faster than they can rebalance it.
Dealers are usually short gamma at concentrated strikes (retail bought the calls; dealers sold them). When spot drives into the strike, dealer gamma spikes, hedging gets expensive, and the only way to stay neutral is to buy more shares per dollar of upside — which itself pushes price. The mechanic feels like resistance because, mathematically, it is.
How it shows up on a Runir page
A Runir wall is fundamentally a high-gamma level. Strikes with concentrated open interest have concentrated gamma; strikes with none have none. That's why the call wall piece talks about dealers needing to hold a specific amount of stock to stay neutral — the “specific amount” changes fastest right at the strike, because gamma is at its peak there.
Walk the figure above one more time with the wall in mind: at
$180, dealers barely react when spot moves
a dollar. At $220, they have to add or
shed real shares per dollar — that's the mechanic the
bronze line on every /d/{ticker} page is reporting.
Big positions at high-gamma strikes hold price; small positions at
low-gamma strikes don't.
Gamma summed across the market: the gamma flip
Add up every dealer's gamma exposure across every strike on every underlying and you get GEX — the aggregate dealer gamma position. When dealers are net long gamma, their hedging dampens the move (sell rallies, buy dips). When they're net short gamma, their hedging amplifies it (buy rallies, sell dips, which is how flash crashes happen).
The level where dealer GEX crosses zero is the gamma flip — the most important regime line on the Runir page. Above it, the market pins; below it, the market trends. That whole macro story rides on the per-strike bell curve you just dragged through. Same Greek, bigger scope.
What it doesn't tell you
Gamma assumes a Black-Scholes world: log-normal returns, no jumps, no volatility surface to speak of. In real markets, gamma estimates drift around earnings, the volatility skew distorts them, and pin risk on expiry day routinely surprises the model. Gamma is the cleanest local picture of dealer urgency; treat it as a probability tilt, not a guarantee.
What to do with this
Read delta first if you skipped ahead — gamma is the rate of change of that number, and the pair only makes sense together. Then read the gamma flip piece for how aggregate gamma drives the market-wide regime. And when you're ready to apply it, the Gamma Radar board is where today's high-gamma setups are ranked.
Common questions
- What is gamma in options?
- The rate of change of delta — if delta is speed, gamma is acceleration. Gamma peaks at the strike, which is why options near the money react fastest as price approaches.
- How does gamma relate to a wall?
- A wall is a high-gamma level: concentrated open interest means dealers must add or shed the most shares per dollar of move right at the strike. That rising hedging urgency is the mechanic that makes a wall act like resistance.
