wake2000

In my opinion, the last ratio shows how much more your option position will be sensitive to interest rate changes.. For example, if the underlying price is 200 and the option price is 20, option will be 10 times sensitive to interest rate changes than the underlying instrument because you will have to buy 10 options to make the dollar durations match..

I am not sure, though, that this intuition is correct..

I thought Gamma measures the relationship between option delta and underlying price..