What Option Gamma Is
Mathematically, gamma is the second derivative of option’s price with respect to underlying price.
Option Gamma Interpretation
The number you see as gamma shows how much the option’s delta changes when the underlying price rises by 1.
The units are same as underlying price (for example dollars per share).
Value Range of Option Gamma
Gamma can only reach positive values for long option positions; negative for short.
It is highest approximately (but not necessarily exactly) at the money and converges to zero on both tails (far out of the money and deep in the money).