- CFA Exams
- CFA Exam: Level II 2021
- Study Session 14. Derivatives
- Reading 38. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility

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**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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