Gamma - Gamma, is the rate at which an option's delta changes as the price of the underlying asset changes. The gamma is usually expressed in deltas gained or lost per one point change in the underlying asset.Long calls and long puts both always have positive gamma. Short calls and short puts both always have negative gamma. Change in premium with respect to change in underlying is captured by delta, and hence delta is called the 1st order derivative of the premium. Change in delta is with respect to change in the underlying value is captured by Gamma, hence Gamma is called the 2nd order derivative of the premium.