See how our partners can help you ace your CFA exams.
Gamma - Source: CFA EOC Reading 30 Q12
Q: If current share price is $67.79, the call option with the largest gamma would have a strike price of:
A) $55 (call delta = 4.7)
$67.50 (call delta = 16.5)
C) $80 (call delta = 35.8)
Originally I had A) $55. Correct answer is $67.50. Is it because the call option of $67.50 is in the money and call delta is > than the call option with strike price of $55 but a lower call delta?