题目
Each of the following is true about option gamma, EXCEPT which is false?
选项
A.For a short-life option, as expiration approaches (i.e., as maturity decreases to zero), the gamma of both in-the-money (ITM) and out-of-the-money (OTM) options tends toward zero
B.For a short-life option, as expiration approaches (i.e., as maturity decreases to zero), the gamma of an at-the-money (ATM) option tends toward zero
C.If you write a covered call, you are short gamma; i.e., position gamma is negative
D.If you purchase a protective put, you are long gamma; i.e., position gamma is positive
答案
B
解析
Although for short-life OTM/ITM options, gamma tends to zero as maturity decreases toward zero, at-the-money options behave the opposite way: the gamma of ATM options is generally a decreasing function of maturity (i.e., gamma increases as maturity tends toward zero).尽管对于短期价外、价内期权，随着到期日趋近于零，gamma值趋于零，但平价期权的行为却相反：平价期权的gamma值通常是到期日的递减函数（即，gamma随着到期日的增加而增加） 趋于零）。