The gamma of an option is
A)the volatility level for the stock that the option price implies.
B)the continued updating of the hedge ratio as time passes.
C)the percentage change in the stock call option price divided by the percentage change in the stock price.
D)the sensitivity of the delta to the stock price.
E)A and C.

Question

Quizplus · Accepted Answer

Gamma measures the rate of change of delta with respect to changes in the underlying asset's price, indicating how sensitive the delta is to the stock price.

The Gamma of an Option Is