- 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
If the gamma of a put is 0.35, the gamma of a call with the same exercise price and time to maturity can be calculated as ______.
B. 0.65
C. The gamma of a put cannot be positive.
A. 0.35
B. 0.65
C. The gamma of a put cannot be positive.
Correct Answer: A
According to the put-call parity, the gamma of a call must equal the gamma of a put. Gamma is always non-negative.
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