A Three-Month At-The-Money Call Option on a Stock Is Trading

question 18

Multiple Choice

A three-month at-the-money call option on a stock is trading at $5; the stock is trading at $50. A forward start option that comes to life in one month and has a life of three months from that point and that will be at-the-money when it comes to life is trading at $4.98. You hold a portfolio that is long the three-month call and short the forward start. The gamma of the portfolio is

• A) Positive
• B) Zero
• C) Negative
• D) Can be positive, zero, or negative.

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Definitions:

Nodules

Swellings on the roots of plants, such as legumes, in which symbiotic nitrogen-fixing bacteria (rhizobia) live.

Root Epidermis

The outermost layer of cells in the root of a plant, responsible for absorption of water and minerals from the soil.

Periderm

The protective outer tissue of woody plants and trees, replacing the epidermis as the plant grows.

Lateral Roots

Roots that branch off from the main root to increase the plant's ability to absorb water and nutrients from the soil.