Which of the Following Statements Is True? Consider Options Written

Multiple Choice

Which of the following statements is true? Consider options written on a non-dividend-paying stock.

A) All European and American options have positive gamma.
B) European options and American calls have positive gamma, but American puts may have negative gamma.
C) European options have positive gamma, but American options may have positive or negative gamma.
D) Gamma may be positive or negative for both American and European options.