WHICH OF THE FOLLOWING STATEMENTS REGARDING THE ROLE OF GAMMA I...

53. - CFA 2018 EXAM LEVEL 3 DA4387 LEVEL III CFA MOCK EXAM 2018 AFTERNOON A
CFA 2018 EXAM LEVEL 3 DA4387 LEVEL III CFA MOCK EXAM 2018 AFTERNOON A

53. Which of the following statements regarding the role of gamma in delta hedging is most

accurate?

A. Higher gamma option positions will need more frequent rebalancing.

B. A delta‐hedged option position will have zero gamma.

C. The gamma of options is always positive.