NO.PZ201712110100000306
问题如下：
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：
A.$ 55.00.
$ 67.50.
$ 80.00.
解释：
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.
中文解析：
本题考察的是gamma在ATM的时候最大这个知识点。
根据表格2的表头信息可知，当前的股价是67.79.
在三个选项中，只有B选项的67.50是最接近当前股价的，也就是最接近ATM的状态的，此时的gamma最大。
想和老师确认一下这四个字母的特征，以下总结对吗？
- Gamma：ATM时候最大，
随着到期日，Gamma越来越大，到期日的Gamma 最大
Long > 0, short <0
2.Vega: ATM的option 最大。
随着到期日临近，Vega变的越来越小，到期日的Vega最小
Long > 0, short <0
3.Theta：随着到期日的临近，theta越来越大
Long < 0, short >0
4.Delta： forward/future 的delta=1
