The gamma of an option is
A) The dollar change in the option delta for a $1 change in the price of the underlying.
B) The percentage change in option delta for a 1% change in the price of the underlying.
C) The dollar change in the option price for a sudden unit jump change in the price of the underlying.
D) The percentage change in the option price for a sudden unit jump change in the price of the underlying.
Correct Answer:
Verified
Q9: Which of the following statements is true?
Q10: You are short a put on
Q11: The delta of an option measures, approximately,
A)
Q12: Which of the following statements is valid
Q13: Which of the following statements is false?
A)
Q15: The current stock price is $50,
Q16: You hold a straddle on a stock
Q17: You hold a straddle on a stock
Q18: The current stock price is $50, and
Q19: A stock is currently trading at
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