- CFA Exams
- CFA Level I Exam
- Study Session 14. Derivatives
- Reading 38. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility
CFA Practice Question
If you buy or sell call options, you are changing ______ of your portfolio.
A. both the delta and gamma
B. the delta but not the gamma
C. the gamma but not the delta
Explanation: Call options have positive delta and gamma. Buying options will always increase the net gamma of your portfolio.
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