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+Chapter 40: Advanced Concepts 903 
+Recall that this is the sixth risk measurement of an option position. The gamma 
+of the gamma is the anwunt by which the gamma will change when the stock price 
+changes. 
+Recall that in the earlier discussion of gamma, it was noted that gamma 
+changes. This example is based on the same example used earlier. 
+Example: With XYZ at 49, assume the January 50 call has a delta of 0.50 and a 
+gamma of 0.05. If XYZ moves up 1 point to 50, the delta of the call will increase by 
+the amount of the gamma: It will increase from 0.50 to 0.55. Simplistically, if XYZ 
+moves up another point to 51, the delta will increase by another 0.05, to 0.60. 
+Obviously, the delta cannot keep increasing by 0.05 each time XYZ gains anoth­
+er point in price, for it will eventually exceed 1.00 by that calculation, and it is known 
+that the delta has a maximum of 1.00. Thus, it is obvious that the gamma changes. 
+In reality, the gamma decreases as the stock moves away from the strike. Thus, 
+with XYZ at 51, the gamma might only be 0.04. Therefore, if XYZ moved up to 52, 
+the call's delta would only increase by 0.04, to 0.64. Hence, the gamma of the gamma 
+is -0.01, since the gamma decreased from .05 to .04 when the stock rose by one 
+point. 
+As XYZ moves higher and higher, the gamma will get smaller and smaller. 
+Eventually, with XYZ in the low 60's, the delta will be nearly 1.00 and the gamma 
+nearly 0.00. 
+This change in the gamma as the stock moves is called the gamma of the 
+gamma. It is probably referred to by other names, but since its use is limited to only 
+the most sophisticated traders, there is no standard name. Generally, one would use 
+this measure on his entire portfolio to gauge how quickly the portfolio would be 
+responding to the position gamma. 
+Example: With XYZ at 31. 75 as in some of the previous examples, the following risk 
+measures exist: 
+Option Option Option Position 
+Position Delta Gamma Gamma/Gamma Gamma/Gamma 
+Short 4,500 XYZ 1.00 0.00 0.0000 0 
+Short 100 XYZ April 25 calls 0.89 0.01 -0.0015 -15 
+Long 50 XYZ April 30 calls 0.76 0.03 -0.0006 - 3 
+Long 139 XYZ July 30 calls 0.74 0.02 -0.0003 - 4 
+Total Gamma of Gamma: -22