We know that our directional risk is typically measured by delta. But, there exists a second layer of this directional risk, when we remember the role that gamma plays in option pricing models. When we sell an OTM option, if the underlying instrument moves against you, then delta will show you how badly that one point move will hurt. The gamma of the option effectively shows you how much the next point will hurt you since gamma measures the rate of change of delta. This creates kind of a "snowball effect", as an underlying instrument moves away from you. Each successive point hurts your position (due to the delta), and this pain intensifies as the option moves closer to ATM (due to the gamma).
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