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Basic Question 3 of 32
As expiration approaches, ______
II. RHOp tends to be 0.
III. THETAc will be positive.
IV. THETAp will be negative.
V. VEGAc will be positive.
VI. VEGAp will be positive.
I. RHOc tends to be 0.
II. RHOp tends to be 0.
III. THETAc will be positive.
IV. THETAp will be negative.
V. VEGAc will be positive.
VI. VEGAp will be positive.
User Contributed Comments 1
| User | Comment |
|---|---|
| moghizz | RHOC is positive, RHOP is negative. RHOC is the real interest rate sensitivity. One goes down towards zero, and one goes up towards zero.Volatility is always positive for both calls and puts. |
I used your notes and passed ... highly recommended!
Lauren
Learning Outcome Statements
interpret each of the option Greeks;
describe how a delta hedge is executed;
describe the role of gamma risk in options trading;
define implied volatility and explain how it is used in options trading.
CFA® 2025 Level II Curriculum, Volume 5, Module 32.