Gamma is a risk measure that is related to the volatility (particularly jump-risk) of the underlying stock. Which of the following is most valid?
A) When you buy vanilla call options it is useful to hedge away gamma to minimize jump risk.
B) When you sell vanilla put options it is useful to hedge away gamma to minimize jump risk.
C) Both (a) and (b).
D) Neither (a) nor (b).

Question

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The Answer of Gamma is a risk measure that is related to the volatility (particularly jump-risk) of the underlying stock. Which of the following is most valid?
A) When you buy vanilla call options it is useful to hedge away gamma to minimize jump risk.
B) When you sell vanilla put options it is useful to hedge away gamma to minimize jump risk.
C) Both (a) and (b).
D) Neither (a) nor (b).

Gamma Is a Risk Measure That Is Related to the Volatility