Answer: Statement 1

## Explanation **Option Greeks Analysis:** **Statement 1: ✓ CORRECT** - Delta (Δ) measures the sensitivity of an option's price to changes in the underlying asset's price - Delta = ∂OptionPrice/∂UnderlyingPrice **Statement 2: ✗ INCORRECT** - Gamma (Γ) measures the sensitivity of delta to changes in the underlying asset's price - Gamma = ∂Delta/∂UnderlyingPrice = ∂²OptionPrice/∂UnderlyingPrice² - The relationship between option price and volatility is measured by vega, not gamma **Statement 3: ✗ INCORRECT** - Vega measures the sensitivity of option price to changes in volatility - Vega = ∂OptionPrice/∂Volatility - The sensitivity of delta to changes in the underlying is gamma, not vega **Conclusion:** Only Statement 1 is correct. Delta properly measures the sensitivity of option value to changes in the underlying asset's value.

Author: LeetQuiz Editorial Team