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:

Bystander Effect

In social psychology, this phenomenon describes how individuals become less likely to help a victim when they are in a group.

GRIT

Graduated and Reciprocated Initiatives in Tension-Reduction—a strategy designed to decrease international tensions.

Social Trap

A situation in which the conflicting parties, by each rationally pursuing their self-interest, become caught in mutually destructive behavior.

Mere Exposure Effect

A psychological effect in which people show a preference for items or concepts they recognize simply because they know them.