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, due to their leveraged nature, typically exhibit both a higher beta, indicating a higher sensitivity to market movements, and a higher standard deviation of return, reflecting greater volatility compared to the underlying stock.

Relative to the Underlying Stock, a Call Option Always Has