Which of the following is not correct about a call's gamma?
A)it is the same as a put's gamma
B)it is large when the call is at-the-money
C)it can be viewed as a measure of the risk of the delta
D)it is a source of risk that can be hedged only by using another option
E)none of the above

Question

Quizplus · Accepted Answer

Gamma is a measure of the rate of change of delta, and it is indeed the same for both calls and puts due to the properties of options. Gamma is largest when the option is at-the-money, reflecting higher sensitivity of delta to changes in the underlying's price at this point. It can be considered a measure of the risk of the delta, as it indicates how much the delta could change with movements in the underlying asset's price. Gamma risk can be hedged using various strategies, not only by using another option, but also through dynamic hedging with the underlying asset, making statement D incorrect. However, since the question asks for what is not correct and all statements except D are correct descriptions of gamma, the answer that none of the provided statements are incorrect about gamma is the most fitting.

Which of the Following Is Not Correct About a Call's