Which of the following is NOT true about gamma?
A) A highly positive or highly negative value of gamma indicates that a portfolio needs frequent rebalancing to stay delta neutral
B) The magnitude of gamma is a measure of the curvature of the portfolio value as a function of the underlying asset price
C) A big positive value for gamma indicates that a big movement in the asset price in either direction will lead to a loss
D) A long position in either a call or a put has a positive gamma

Question

Quizplus · Accepted Answer

C is not true.The change in the value is a gain of 0.5F1F1F1S1F1F1F10S².There is a gain from a big movement when gamma is positive and a loss from a big movement when gamma is negative.

Which of the Following Is NOT True About Gamma