. The $67.50 call option is approximately at the money because the Walnut share price is currently $67.79. Gamma measures the sensitivity of an option’s delta to a change in the underlying. The larg

问题如下：

A client, Wanda Tills asks Singh to explain the gamma of a call option. Based on the data in Exhibit 2, Singh would advise Tills that the call option with the largest gamma would have a strike price closest to:

选项：

$ 55.00

$ 67.50

$ 80.00

解释：

Correct Answer: B

B is correct. The $67.50 call option is approximately at the money because the Walnut share price is currently $67.79. Gamma measures the sensitivity of an option’s delta to a change in the underlying. The largest gamma occurs when options are trading at the money or near expiration, when the deltas of such options move quickly toward 1.0 or 0.0. Under these conditions, the gammas tend to be largest and delta hedges are hardest to maintain.