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ACI

3I0-012 · Question #183

The gamma of an option is:

The correct answer is C. The sensitivity of the delta to changes in the value of the underlying. See the full explanation below for the reasoning.

Question

The gamma of an option is:

Options

  • AThe sensitivity of the option value to changes in volatility
  • BThe sensitivity of the option value to changes in the time to expiry
  • CThe sensitivity of the delta to changes in the value of the underlying
  • DThe sensitivity of the option value to changes in the price of the underlying

How the community answered

(15 responses)
  • A
    13% (2)
  • B
    7% (1)
  • C
    80% (12)

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Full 3I0-012 Practice