Stream Option Gamma

Streams the real-time gamma Greek for options contracts. Gamma measures the rate of change in delta relative to a $1 change in the underlying asset.

Symbol Format

Options use OCC (Options Clearing Corporation) format:

  • Format: SYMBOL + YYMMDD + C/P + Strike(8 digits)
  • Example: AAPL240315C00170000 = AAPL Call, Mar 15 2024, Strike $170

Gamma Characteristics

Scenario Gamma Behavior
At-the-money Highest gamma
Deep ITM/OTM Lower gamma
Near expiration Gamma increases for ATM
Far from expiration Gamma more stable

Notes

  • Data streams automatically update in Excel
  • Gamma is always positive for both calls and puts
  • Highest for at-the-money options near expiration

Examples

=QM_Stream_Gamma("AAPL240315C00170000")
Gamma for AAPL call
=QM_Stream_Gamma("MSFT240315P00400000")
Gamma for MSFT put
=QM_Stream_Gamma(A1)
Option symbol from cell

When to Use

  • Measuring delta stability
  • Gamma scalping strategies
  • Position risk management
  • Understanding delta hedge frequency

When NOT to Use

Scenario Use Instead
Need delta QM_Stream_Delta()
Need theta QM_Stream_Theta()
Need vega QM_Stream_Vega()
Need implied volatility QM_Stream_ImpliedVolatality()

Common Issues & FAQ

Q: What does gamma tell me? A: Gamma shows how much delta will change for a $1 move in the underlying. High gamma means delta changes quickly.

Q: Why does gamma matter? A: High gamma positions require frequent delta hedging. Gamma risk is significant for short options near expiration.

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