The gamma of a cash-or-nothing binary call option is generally when the option is out-of-the-money and generally when it is in-the-money.
A)negative;positive.
B)negative;negative.
C)positive;negative.
D)positive;positive.

Question

Quizplus · Accepted Answer

The gamma of a cash-or-nothing binary call option is generally positive when the option is out-of-the-money and negative when it is in-the-money. This is because when the option is out-of-the-money, small movements in the underlying asset may cause the option to become in-the-money and therefore increase in value, resulting in a positive gamma. Conversely, when the option is in-the-money, small movements in the underlying asset may cause the option to become out-of-the-money and therefore decrease in value, resulting in a negative gamma.

The Gamma of a Cash-Or-Nothing Binary Call Option Is Generally