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Which of the Following Statements Is True? Consider Options Written

Question 21

Multiple Choice

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


A) All European options have negative theta and positive gamma.
B) European calls have negative theta and positive gamma, but European puts may sometimes have positive theta and negative gamma.
C) All European options have negative theta and all European calls have positive gamma, but European puts may sometimes have negative gamma.
D) All European options have positive gamma and European calls have negative theta, but European puts may sometimes have positive theta.

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