CFA Practice Question

There are 221 practice questions for this study session.

CFA Practice Question

The sensitivity of a call option's price to a small change in the volatility of the underlying asset is called the ______.
A. delta
B. gamma
C. vega
Explanation: Vega represents the amount that an option contract's price changes in reaction to a 1% change in the volatility of the underlying asset. Volatility measures the amount and speed at which price moves up and down, and is often based on changes in recent historical prices in a trading instrument.

User Contributed Comments 1

User Comment
Miqizjg Delta: Sensitivity of derivative value to the price of underlying asset
Gamma: Sensitivity of derivative value to the change of price of underlying asset
Vega: Sensitivity of derivative to the volatility of price of underlying asset
Rho: Sensitivity of derivative to changes in the risk-free rate
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