Answer: Option 1

## Explanation Gamma measures the rate of change of an option's delta with respect to changes in the underlying price. Gamma is highest for **at-the-money (ATM)** options and decreases as options move further in-the-money or out-of-the-money. Given: - At-the-money forward strike = 100 - Option 1 strike = 95 (5 points in-the-money) - Option 2 strike = 110 (10 points out-of-the-money) - Option 3 strike = 120 (20 points out-of-the-money) **Analysis:** - Option 1 is closest to being at-the-money (only 5 points away) - Option 2 is moderately out-of-the-money (10 points away) - Option 3 is deeply out-of-the-money (20 points away) Since gamma is maximized for options that are at-the-money or very close to at-the-money, **Option 1** will have the largest gamma because it's closest to the ATM strike of 100. **Correct answer: A - Option 1**

Author: LeetQuiz Editorial Team