The gamma of a cash-or-nothing binary call option and the theta of such an option
A)is always positive;is always negative.
B)is always positive;can be positive or negative.
C)can be positive or negative;is always negative.
D)can be positive or negative;can be positive or negative.

Question

Quizplus · Accepted Answer

The gamma of a cash-or-nothing binary call option is always positive, as it measures the convexity of the option. The theta of such an option can be positive or negative, depending on the time to expiration and the volatility of the underlying asset.

The Gamma of a Cash-Or-Nothing Binary Call Option and the Theta