Letter E missing: game is lost (5)
I believe the answer is:
sigma
'letter' is the definition.
(sigma is a kind of letter)
'e missing game is lost' is the wordplay.
'missing' is a deletion indicator.
'lost' is an anagram indicator.
'game'+'is'='gameis'
'gameis' with 'e' taken out is 'gamis'.
'gamis' is an anagram of 'SIGMA'.
(Other definitions for sigma that I've seen before include "Letter from Greece" , "character in Corfu" , "Greek letter indicating summation in maths" , "Greek letter corresponding to S" , "Greek character" .)