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:

Reputed Financiers

Individuals or institutions with a well-regarded reputation in the financial sector for their expertise and integrity in handling investments.

Rescind The Investment

To cancel or revoke the investment decision, typically within a legally specified period.

Fraud Case

A legal or investigatory proceeding involving allegations of deceit, misrepresentation, or dishonest practices intended to gain an unfair advantage or to harm another party.

Duress

A circumstance where someone carries out a behavior because they have faced threats, violence, or various forms of compulsion.