The gamma of a cash-or-nothing binary call option is generally when the option is out-of-the-money and generally when it is in-the-money.
A) negative; positive.
B) negative; negative.
C) positive; negative.
D) positive; positive.

Question

Quizplus · Accepted Answer

The gamma of a cash-or-nothing binary call option is positive when the option is out-of-the-money and negative when it is in-the-money. This is because gamma measures the rate of change of delta, and for binary options, delta changes more rapidly as the option moves from out-of-the-money to in-the-money.

The Gamma of a Cash-Or-Nothing Binary Call Option Is Generally