The Gamma of a Delta-Neutral Portfolio Is 500

question 19

Multiple Choice

The gamma of a delta-neutral portfolio is 500.What is the impact of a jump of $3 in the price of the underlying asset?

• A) A gain of $2,250
• B) A loss of $2,250
• C) A gain of $750
• D) A loss of $750

---

Definitions:

Premium on Bonds Payable

The amount by which a bond's sale price exceeds its face value, reflecting additional value due to market conditions or the bond's terms.

Straight-Line Method

A depreciation method that allocates an equal portion of the initial cost of an asset to each period of its useful life.

Premium on Bonds Payable

The amount by which a bond's selling price exceeds its face value or par value, often resulting from interest rates lower than the bond's coupon rate.

Bonds Payable

Long-term liabilities representing money owed by an entity to bondholders, to be repaid at a specific future date.