CFA Practice Question

There are 227 practice questions for this study session.

CFA Practice Question

Gamma is small when the option is ______.

I. near-the-money
II. at-the-money
III. deep-in-the-money
IV. deep-out-of-the-money
Correct Answer: III and IV

Gamma is large when the option is near-the-money (or close to at-the-money).
Gamma is small when the option is deep-in-the-money or deep-out-of-the-money.

User Contributed Comments 1

User Comment
quanttrader gamma is 2nd deriv of delta/dt
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