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.
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.
老师：您好。这道题是否可以这样理解：当 option ATM时，gamma最大，所以需要找到当前stock与那个X最接近，于是选择了67.5，因为其与当前市场价格最接近。