hard · FRM Part 1 Valuation and Risk Models
A trader is long a straddle (long call and long put with the same strike and expiration).
What is the net Delta and net Gamma of this position if the options are at-the-money?
- Delta is near 1.0; Gamma is zero.
- Delta is near zero; Gamma is positive.
- Delta is near -1.0; Gamma is positive.
- Delta is near zero; Gamma is negative.
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