CFA CFA Level 1 CFA Level 1 Question of the Week – Portfolio Management (greeks)

CFA Level 1 Question of the Week – Portfolio Management (greeks)

  • Author
    Posts
    • Avatar of Matt_AnalystPrepMatt_AnalystPrep
      Participant
        • CFA Charterholder
        Up
        6
        ::

        Which of the following “Greeks” measures the amount that an option contract’s price changes in reaction to a change in the implied volatility of the underlying asset?

        • A. Rho
        • B. Vega
        • C. Gamma
      • Avatar of Matt_AnalystPrepMatt_AnalystPrep
        Participant
          • CFA Charterholder
          Up
          1
          ::

          The correct answer is B.

          Derivatives risk measures are also referred to as “Greeks.” Vega measures the sensitivity of derivatives value to the volatility of prices of underlying assets.  

      Viewing 1 reply thread
      • You must be logged in to reply to this topic.