Relative to the underlying stock, a call option always has:
A) A higher beta and a higher standard deviation of return
B) A lower beta and a higher standard deviation of return
C) A higher beta and a lower standard deviation of return
D) A lower beta and a lower standard deviation of return

Question

Quizplus · Accepted Answer

Call options have a higher beta and higher standard deviation of return compared to the underlying stock because they are leveraged instruments, amplifying both potential returns and risks.

Relative to the Underlying Stock, a Call Option Always Has