The Gamma of an Option Is

question 27

Multiple Choice

The gamma of an option is

• A) The dollar change in the option delta for a $1 change in the price of the underlying.
• B) The percentage change in option delta for a 1% change in the price of the underlying.
• C) The dollar change in the option price for a sudden unit jump change in the price of the underlying.
• D) The percentage change in the option price for a sudden unit jump change in the price of the underlying.

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Definitions:

Mathematical Definition

A precise and formal description of a term or concept within the realm of mathematics.

Investment

The act of allocating resources, usually money, with the expectation of achieving a gain or profit over time.

Capital Gains Yield

The price appreciation component of the total return on an investment, excluding dividends.

Dividend

A portion of a company's earnings distributed to its shareholders, typically in the form of cash or additional stock.