Answer-first summary for fast verification
Answer: Option 2.
## Explanation Gamma measures the rate of change of delta with respect to changes in the underlying asset price. Gamma is highest for at-the-money (ATM) options and decreases as options move further in-the-money (ITM) or out-of-the-money (OTM). Given the futures price is $58.00: - Option 1 ($47.00) is deep ITM (delta ≈ 1, gamma ≈ 0) - Option 2 ($59.00) is near ATM (delta ≈ 0.5, gamma highest) - Option 3 ($68.00) is OTM (delta ≈ 0, gamma ≈ 0) Therefore, Option 2 has the highest gamma as it's closest to being at-the-money.
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$58.00:Exercise Price
$47.00$59.00$68.00The option with the highest gamma is:
A
Option 1.
B
Option 2.
C
Option 3.