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Basic Question 8 of 32
Of the five variables in the BSM, an option's value is most sensitive to ______ changes.
B. time to maturity
C. volatility
A. underlying price
B. time to maturity
C. volatility
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I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
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.