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Colour

The rate at which gamma changes with the passage of time; it shows how a position's curvature builds or evaporates as expiration approaches.

At-the-money gamma rises sharply as expiry nears, while out-of-the-money gamma fades toward zero. Colour is the number that quantifies both effects, and it is what makes a quiet short-dated position turn dangerous overnight without any price movement.

Desks that carry short gamma into expiration watch colour to know when a position that is currently manageable becomes unmanageable. It is the calendar equivalent of speed-greek.

Example: short ten XYZ $50 calls with XYZ at $50 and four days left. Today the position's gamma implies a $180 delta shift per dollar. Two days later, with the price unchanged, the same position implies $310 per dollar. Colour did that, not the market.

Related: speed-greek, gamma-risk, time-decay-curve, second-order-greeks

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