Gamma is defined as the rate of change of an option's delta with respect to the price of the underlying asset, or the second derivative of the option price with respect to the asset price. Therefore, the highest gamma is observed in shorter maturity and at-the-money options, since options with these characteristics are much more sensitive to changes in the underlying asset price. The gamma is highest for a shorter maturity call option because delta's move toward either 0 or +1.00 is more imminent.

The correct choice is a call option both at-the-money and with the shorter maturity.

Key Points:

• Gamma measures how quickly delta changes as the underlying price changes
• At-the-money options have the highest gamma
• Shorter-dated options have higher gamma than longer-dated options
• Option B is at-the-money (strike = current price = USD 60) and has the shortest maturity (5 days)