Option Greeks: Gamma

Gamma takes on its largest value:

You got it! Gamma will take on its largest value near the money because any change in the underlying will make the option more or less valuable by a significantly higher percentage. That's because the option could go in the money or out of the money very quickly, so the change has a large impact.

No. At the lower bound, the option is out of the money, so its underlying movement won't impact the value as much.

Not quite. At the upper bound, the option's definitely in the money, so the underlying's movement wouldn't impact the value as much.

near the money.

at the lower bound.

at the upper bound.