The gamma of a put is typically highest when
A) The stock price is much lower than the strike price.
B) The stock price is in the region of the strike price.
C) The stock price is much higher than the strike price.
D) The information is insufficient to answer this question.

Question

Quizplus · Accepted Answer

Gamma measures the rate of change of delta of an option with respect to the underlying asset's price. Gamma is highest when the option is at-the-money or near-the-money because this is where the rate of change is the greatest. Therefore, when the stock price is in the region of the strike price, the gamma of a put is typically highest.

The Gamma of a Put Is Typically Highest When