Volatility risk is
A) the volatility level for the stock that the option price implies.
B) the risk incurred from unpredictable changes in volatility.
C) the percentage change in the stock call-option price divided by the percentage change in the stock price.
D) the sensitivity of the delta to the stock price.

Question

Quizplus · Accepted Answer

Volatility risk refers to the risk associated with the unpredictable changes in the volatility of an asset. It affects various financial instruments, especially options, as their pricing is highly sensitive to changes in volatility.

Volatility Risk Is