Gamma Filter (Ultra): Manage the Speed of Delta Changes
Gamma measures how fast delta moves when the stock moves. Use the Ultra-tier Gamma filter to avoid contracts that whipsaw your risk.
What gamma tells you
If delta is speed, gamma is acceleration. It's the rate at which an option's delta changes when the underlying stock moves $1.
- Low gamma (≈ 0.01) — delta is stable; risk evolves slowly.
- High gamma (≈ 0.10+) — delta whips around; a small stock move can blow you from "safe" to "in trouble" overnight.
For wheel sellers, lower gamma is friendlier.
Where to find it
Gamma is an Ultra-tier filter in the Greeks section of both screeners. The slider runs 0 to 1, and most listed equities cluster between 0 and 0.20.
Recommended gamma ranges
| Goal | Gamma | Why |
|---|---|---|
| Conservative wheel | 0.00 to 0.05 | Stable position, predictable risk |
| Standard wheel | 0.00 to 0.10 | Slight whip near ATM |
| Aggressive | 0.10+ | Often weeklies near ATM |
Gamma peaks for ATM options near expiration — exactly the corner of the chain where things blow up fastest.
A worked example
You're selling 7-DTE puts and want to keep gamma manageable:
- Open the Put screener.
- Set DTE = 1–7.
- Set Gamma = 0.00–0.05.
- Set Delta = −0.20 to −0.10.
This screen finds short-dated puts where the position will not "snap" if the stock moves against you.
Gamma + the rest
- Gamma + Delta — guards against the direction and speed of risk together.
- Gamma + DTE — short DTE has higher gamma; the filter limits explosive surprises.
- Gamma + Theta — high theta usually comes with high gamma. The Greek filters together let you find an "efficient frontier".
Common mistakes
1. Optimizing gamma in isolation. Low gamma alone doesn't make a trade good. It needs to pair with reasonable delta and premium.
2. Confusing gamma sign. For sellers, gamma is positive on long contracts and negative on the short side. The screener shows the absolute value of the underlying contract's gamma.
3. Ignoring expiration week. Even a 0.01 gamma can spike to 0.20 in the final 48 hours. Avoid holding ATM contracts into expiration unless you want them to be assigned.
Where to go next
- Read Theta filter — the speed/decay sibling.
- Try Conservative Wheel preset.
- Pair with DTE filter for short-dated control.
Frequently Asked Questions
What is a 'safe' gamma value for the wheel strategy?
For 30–45 DTE wheel trades, gamma below 0.05 is comfortable. For weeklies, anything above 0.10 means delta can move sharply with a small stock move — manage the position closely.
Why is gamma highest near expiration?
Near expiration there's almost no time value left, so any move in the stock translates almost 1-for-1 into delta changes. That's gamma exploding.