The Gamma of an Option Is

question 64

Multiple Choice

The gamma of an option is

• A) the volatility level for the stock that the option price implies.
• B) the continued updating of the hedge ratio as time passes.
• C) the percentage change in the stock call-option price divided by the percentage change in the stock price.
• D) the sensitivity of the delta to the stock price.

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Definitions:

Interest Rate

The percentage of a loan that is applied as interest for the borrower, usually shown as an annual rate.

Account

A record summarizing all the transactions pertaining to a particular item in the financial statements.

Annual Rate

The interest rate stated on a yearly basis, often used in the context of savings accounts, loans, or investments to represent the yearly cost or return.

Return

The fiscal upwards or downwards movement in the value of an investment over a defined period, portrayed as a percentage of the investment’s beginning expense.