题目
Which of the following IBM options has the highest gamma with the current market price of IBM common stock at USD 68?
选项
A.Call option expiring in 10 days with strike USD 70
B.Call option expiring in 10 days with strike USD 50
C.Put option expiring in 10 days with strike USD 50
D.Put option expiring in 2 months with strike USD 70
答案
A
解析
Gamma is highest for at the money options nearing expiration. The at-the-money options are those with a strike of 70. The shortest dated options are the 10 day options. Thus, A is correct.在即将到期的货币期权中，Gamma最高。 平价期权是那些行使价为70的期权。期限最短的期权是10天期权。 因此，A是正确的。