The Gamma of an Option Is

question 4

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.
• E) the volatility level for the stock that the option price implies and the percentage change in the stock call option price divided by the percentage change in the stock price.

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Definitions:

True Proportions

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Standard Error

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