Answer: high for a down move and low for an up move.

## Explanation This question relates to the **convexity bias** in delta hedging due to gamma. For a **long call option position**: - **Gamma is positive** (option value is convex) - Delta underestimates the actual price change for large moves **For up moves:** - Actual price increase > delta-estimated increase - Delta approximation is **low** (underestimates) **For down moves:** - Actual price decrease > delta-estimated decrease - Delta approximation is **high** (overestimates the remaining value) Therefore, the delta approximation is: - **High for a down move** (overestimates option value) - **Low for an up move** (underestimates option value) This convexity effect means delta hedging becomes less effective for larger price movements, requiring gamma hedging for better accuracy.

Author: LeetQuiz Editorial Team