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As a risk manager at the derivatives trading desk of an investment bank, you are responsible for monitoring the sensitivity measures of different options positions on the stock FIR. Given that the current market price of the stock FIR is USD 60, determine which option on stock FIR exhibits the highest gamma value.
A
Long call option expiring in 5 days with strike price of USD 30
B
Long call option expiring in 5 days with strike price of USD 60
C
Long call option expiring in 30 days with strike price of USD 30
D
Long call option expiring in 30 days with strike price of USD 60