Explanation

Gamma measures the rate of change of delta with respect to changes in the underlying asset price. Gamma is highest for at-the-money (ATM) options and decreases as options move further in-the-money (ITM) or out-of-the-money (OTM).

Given the futures price is $58.00:

• Option 1 ($47.00) is deep ITM (delta ≈ 1, gamma ≈ 0)
• Option 2 ($59.00) is near ATM (delta ≈ 0.5, gamma highest)
• Option 3 ($68.00) is OTM (delta ≈ 0, gamma ≈ 0)

Therefore, Option 2 has the highest gamma as it's closest to being at-the-money.