Which of the Following Is NOT True About Gamma

question 15

Multiple Choice

Which of the following is NOT true about gamma?

• A) A highly positive or highly negative value of gamma indicates that a portfolio needs frequent rebalancing to stay delta neutral
• B) The magnitude of gamma is a measure of the curvature of the portfolio value as a function of the underlying asset price
• C) A big positive value for gamma indicates that a big movement in the asset price in either direction will lead to a loss
• D) A long position in either a call or a put has a positive gamma

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Definitions:

Consumer Behavior

The study of how individuals make decisions to spend their resources on consumption-related items.

Marginal Utility

The boost in satisfaction from the consumption of an additional item of a good or service.

Total Utility

The overall satisfaction or pleasure a consumer derives from consuming a certain quantity of goods or services.

Marginal Utility

The extra fulfillment or advantage a person gains by consuming an additional unit of a product or service.