35. Gamma is the second derivative of the convertible value with respect to parity, and is the rate of change of delta with respect to the share price is an important element in convertible trading. In times of high volatility such as what the markets have witnessed in recent years, gamma of each position, and its aggregation to the level of each trader’s position and to the level of the firm, is an important risk measure of the entity’s profit/loss potential. A positive gamma is always desirable and negative gamma “a Giffen good.”