问题如下：
Stanley Kumar Singh, CFA, is the risk manager at SKS Asset Management. He works with individual clients to manage their investment portfolios.
A third client, Wanda Tills, does not currently own Walnut shares and has asked Singh to explain the profit potential of three strategies using options in Walnut: a long straddle, a bull call spread, and a bear put spread. In addition, Tills asks Singh to explain the gamma of a call option. In response, Singh prepares a memo to be shared with Tills that provides a discussion of gamma and presents his analysis on three option strategies:
Strategy 1: A long straddle position at the $67.50 strike option
Strategy 2: A bull call spread using the $65 and $70 strike options
Strategy 3: A bear put spread using the $65 and $70 strike options
选项：
A. $ 55.00.
B. $ 67.50.
C. $ 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.
这题根据delta最接近0.5也能出结果吧？
