- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 32. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility
CFA Practice Question
Suppose your position is short a call option and long a share of underlying stock; what can you say about the gamma of your portfolio?
B. You are long gamma.
C. You are short gamma.
A. You are gamma-neutral.
B. You are long gamma.
C. You are short gamma.
Correct Answer: C
The gamma of a stock is zero, so you are short gamma (short option).
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