mik82

it makes sense really, if you hold an option, and it's way out of the money, a small change in stock price won't make any difference to the value of that option. i.e. delta~0

on the other hand, if stock price is currently close to strike, and it moves a little bit, the option may come into the money, then if it moves another $1 your option will be worth close to another $1! i.e. delta~1

For delta to go from 0 to 1 it has to move as the stock price moves, rate of this change of delta is gamma.