Financial Risk Manager Part 2
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With all other things being equal, a risk monitoring system that assumes constant volatility for equity returns will understate the implied volatility for which of the following positions by the largest amount:
A
Short position in an at-the-money call
B
Long position in an at-the-money call
C
Short position in a deep out-the-money call
D
Long position in a deep in-the-money call