The correct answer is C (gamma).

• Option A (rho) is incorrect because rho measures the sensitivity of a derivative's price to changes in interest rates, not the sensitivity of delta to the underlying asset's value.
• Option B (vega) is incorrect because vega measures the sensitivity of a derivative's price to changes in the volatility of the underlying asset, not the sensitivity of delta.
• Option C (gamma) is correct because gamma captures the sensitivity of a derivative's delta to changes in the value of the underlying asset. While delta is a first-order risk measure, gamma is a second-order risk measure, reflecting the risk of changes in delta itself.

This concept is crucial in Portfolio Management for measuring and modifying risk exposures, particularly when assessing the impact of large price movements in the underlying asset.