CFA Practice Question

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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 ______.

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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