Easy · Derivatives Pricing & Greeks · Multiple choice · ~4 min · #30
Greeks Near Expiry
You are long an at-the-money European call. As time to expiry shrinks towards zero (with spot staying at the strike), which of these Greeks grows without bound in magnitude?
Hints · 0 of 1 shown
Worked solution
Give the problem an honest attempt first, then reveal the full explanation.
Related questions
Concepts
GammaPin riskTheta–gamma relationship
Relevant for
Quant TraderDesk Quant