Which of the following otherwise identical European options has the highest gamma (A) 1 day deep out of the money call option (B) 10 day deep in the money call option (C) 1 year at the money put option (D) 10 year at the money put option (E) There is not enough information to determine the answer ...

Which of the following otherwise identical European options has the highest gamma? (A) 1-day deep out-of-the-money call

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Which of the following otherwise identical European options has the highest gamma?

(A) 1-day deep out-of-the-money call option

(B) 10-day deep in-the-money call option

(D) 10-year at-the-money put option

(E) There is not enough information to determine the answer

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Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:18 AM

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Which of the following otherwise identical European options has the highest gamma? (A) 1-day deep out-of-the-money call

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