Explanation:
Gamma is highest when the stock is at the money and closest to expiration.
(Book 4, Module 62.3, LO 62.e)
Ultimate access to all questions.
Question 40
Which of the following Microsoft equity options has the greatest gamma, assuming the current market price of USD 97?
A
Call option expiring in 2 months with a strike of 100.
B
Put option expiring in 15 days with a strike of 80.
C
Call option expiring in 15 days with a strike of 80.
D
Put option expiring in 15 days with a strike of 95.
No comments yet.