Multiple Choice
A three-month at-the-money call option on a stock is trading at $5; the stock is trading at $50. A forward start option that comes to life in one month and has a life of three months from that point and that will be at-the-money when it comes to life is trading at $4.98. You hold a portfolio that is long the three-month call and short the forward start. The gamma of the portfolio is
A) Positive
B) Zero
C) Negative
D) Can be positive, zero, or negative.
Correct Answer:
Verified
Correct Answer:
Verified
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