Gamma measures the rate of change of Delta itself — essentially, how much Delta will change if the underlying moves. It’s a measure of Delta’s own sensitivity, rather than the premium’s sensitivity directly.
Where Gamma Is Highest
Gamma is typically highest for ATM options, and this effect intensifies as expiry approaches — a factor sometimes called “Gamma risk,” especially relevant for Option sellers whose Delta (directional exposure) can shift quickly near expiry.
Related Reading
See the full deep-dive lesson, with a worked Delta-update example, in Gamma Explained: The Greek Behind Delta’s Changes.