Answer: gamma

The correct answer is **C (gamma)**. - **Option A (rho)** is incorrect because rho measures the sensitivity of a derivative's price to changes in interest rates, not the sensitivity of delta to the underlying asset's value. - **Option B (vega)** is incorrect because vega measures the sensitivity of a derivative's price to changes in the volatility of the underlying asset, not the sensitivity of delta. - **Option C (gamma)** is correct because gamma captures the sensitivity of a derivative's delta to changes in the value of the underlying asset. While delta is a first-order risk measure, gamma is a second-order risk measure, reflecting the risk of changes in delta itself. This concept is crucial in **Portfolio Management** for measuring and modifying risk exposures, particularly when assessing the impact of large price movements in the underlying asset.

Author: LeetQuiz Editorial Team