Speed measures how an option’s gamma changes as the underlying price moves — the third derivative of the option price with respect to spot. It’s an advanced Greek that matters most for near-expiration, at-the-money options.
What speed captures
Gamma tells you how fast delta changes; speed tells you how fast gamma changes as price moves. When speed is high, gamma itself shifts rapidly with each move in the underlying — meaning a dealer’s hedging needs change not just quickly but at an accelerating rate. It’s the “jerk” to gamma’s acceleration.
Why it matters for 0DTE
On expiration day, ATM options have extreme gamma (thanks to color) and high speed, so as SPY moves through a strike, gamma can change dramatically, making dealer hedging especially frantic and moves especially sharp. It’s a mathematical contributor to the violent, whippy character of the 0DTE close.
Speed is acceleration on top of acceleration — gamma changing fast as price moves. On 0DTE, it’s part of why the tape can turn on a dime.
What it means for a scalper
Speed is firmly in “good to know it exists” territory — you won’t trade it, but it’s part of why 0DTE hedging flows are so intense near key strikes late in the day. Filed alongside color and zomma in the higher-order Greek zoo.
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NoVo is a software tool for market analysis, not financial advice. This article is general education, not investment advice. Options trading involves substantial risk of loss, up to and including your entire capital. NoVo makes no guarantee of profit, win rate, or performance, and past results do not predict future outcomes. You are responsible for your own broker account, configuration, and trading decisions.
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