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:

Intrasubject Variability

The variation in response to a treatment or condition within the same individual over a period of time.

Intraobserver Variability

Variations in measurements or assessments made by the same observer when observing the same phenomenon multiple times.

Specificity

The ability of a test to correctly identify individuals who do not have a given disease or condition among a group being tested.

Percent Agreement

A statistical measure used to assess the degree of concordance between two or more observers on a categorical scale.