It ranges from -1 to 0 for put options. At-the-money (ATM ... but it does protect you against more minor market shifts. Gamma is the Greek that measures the rate of change in an option's delta ...

Nd = 10 * 12 = 120. The gamma statistic is: (Nc – Nd) / (Nc + Nd) = (1680 – 120) / (1680 + 120), or 0.867. Since the Gamma value is relatively high compared to +1, the HR manager can ...