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Speed

The third-order Greek measuring how gamma changes as the underlying moves; it describes how quickly a hedge goes stale.

If gamma is the curvature of the delta line, speed is how fast that curvature changes. Near expiration and near the strike, gamma itself moves violently with price, and speed is the number that captures it.

Practically, speed tells a hedger how far they can let the underlying travel before re-hedging. High speed means a hedge calculated at $50 is already wrong at $50.30, which is why short-dated at-the-money books are re-hedged in tiny increments or not run at all.

Example: an XYZ $50 call expiring tomorrow. At $49.50 its gamma is 0.25 per dollar; at $50.00 it is 0.38; at $50.50 it is 0.22. Gamma nearly doubled and halved within a dollar. That rate of change is speed, and it is why zero-dte hedging is a full-time job.

Related: gamma, second-order-greeks, color-greek, zero-dte

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