
Ultimate access to all questions.
A risk manager on the derivatives trading desk of an investment bank is monitoring the sensitivity measures for several of the desk's positions in options on stock FIR. The current market price of the stock is USD 60. Which of the following options on stock FIR has the highest gamma?
A
Long call option expiring in 5 days with strike price of USD 30
B
Long call option expiring in 5 days with strike price of USD 60
C
Long call option expiring in 30 days with strike price of USD 30
D
Long call option expiring in 30 days with strike price of USD 60