The Gamma of an Option Is

Multiple Choice

The gamma of an option is

A) The dollar change in the option delta for a $1 change in the price of the underlying.
B) The percentage change in option delta for a 1% change in the price of the underlying.
C) The dollar change in the option price for a sudden unit jump change in the price of the underlying.
D) The percentage change in the option price for a sudden unit jump change in the price of the underlying.