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Basic Question 11 of 13

Which option sensitivity measure is analogous to the duration of a fixed-income security?

A. Delta
B. Gamma
C. Vega
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User Contributed Comments 2

User Comment
warnggg Isn't vega a first-order effect too?
breh yes verga is a first-order effect. however, Delta is more similar to duration as they both measures the sensitivity to the price of the underlying.
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I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz

Tamara Schultz

Learning Outcome Statements

describe sensitivity risk measures and scenario risk measures and compare these measures to VaR;

demonstrate how equity, fixed-income, and options exposure measures may be used in measuring and managing market risk and volatility risk;

describe the use of sensitivity risk measures and scenario risk measures;

describe advantages and limitations of sensitivity risk measures and scenario risk measures;

CFA® 2025 Level II Curriculum, Volume 5, Module 41.