The delta of a cash-or-nothing binary call option and the gamma of such an option
A) is always positive; is always positive.
B) is always positive; can be positive or negative.
C) can be positive or negative; is always positive.
D) can be positive or negative; can be positive or negative.

Question

Quizplus · Accepted Answer

The delta of a cash-or-nothing binary call option is always positive because it represents the rate of change of the option's price with respect to the underlying asset's price, and for a call option, this relationship is positive. The gamma, which measures the rate of change of delta with respect to the underlying asset's price, can be positive or negative depending on how the delta changes as the underlying price moves.

The Delta of a Cash-Or-Nothing Binary Call Option and the Gamma