Gamma of Put from Call
Quantitative Finance
Level
1
Ford stock is trading around 16.40 . The call option on the $16 strike has a gamma of 0.617. What is the gamma of the put on the $16 strike?
-0.617
-0.383
0.617
0.383
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1 solution
Gamma is the same for call and put of the same underlying stock, strike price and expiration date (see Option Gamma by www.OptionTradingTips.com ).