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Basic Question 22 of 32
Gamma is small when the option is ______.
II. at-the-money
III. deep-in-the-money
IV. deep-out-of-the-money
I. near-the-money
II. at-the-money
III. deep-in-the-money
IV. deep-out-of-the-money
User Contributed Comments 1
| User | Comment |
|---|---|
| quanttrader | gamma is 2nd deriv of delta/dt |
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.