PRMIA Exam 8006 Topic 8 Question 9 Discussion

Actual exam question for PRMIA's 8006 exam

Question #: 9
Topic #: 8

[All 8006 Questions]

The gamma in a commodity futures contract is:

Azero

Balways negative

Cparabolic

Ddependent upon the convexity

Show Suggested Answer

Suggested Answer: A

Futures contracts carry no gamma. Only options have gamma. Choice 'a' is the correct answer. Any instrument whose price varies in a linear fashion with respect to the underlying will have gamma equal to zero.

by Cristal at May 08, 2022, 11:25 PM

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