More On Gamma

And another important point to note about gamma on Expiration Week is that it tends to feed on itself and keep a body in motion.

Take this XYZ before. Let's say it breaks away from 50 on Expiration week and heads towards 55. Call shorts on the 55 line probably had a "mental ripup" option on their books. In other words, a call short that was unhedged, probably on the thinking it was out of play. Well, guess what, now it is a factor. They are likely forced into some sort of action like buying stock into strength, or buying the calls back. Which on the margins adds even more fuel to the stock. Which maybe triggers the next call short into action. Which...... you get the idea.

And again, the call owner has "hand" here. He's probably shorting gingerly into it. Or riding it; after all this is somewhat "free" money to him at this point as he too mentally marked his calls to near zero.

My point in this example is to show how on or near expiration, more volatility can beget even more volatility. And moves to "new" strikes can keep adding to that effect.