FINANCE75012 11 The Mathematical Result

1.
[13] Charm can be an important Greek to measure/monitor when delta-hedging a position over a weeke
Multiple-Choice Questions on A. It holds that ■■■■λ■=■Ω■=■∆■×■■■S■V■■■■■{\displays
Multiple-Choice Questions on B. Numerically, all first-order sensitivities can be interpreted as spre
Multiple-Choice Questions on C. These values are typically calculated using a tree-based model,
Multiple-Choice Questions on D. [13] Charm can be an important Greek to measure/monitor whe
2. The closest analogue to the delta is DV01, which is the reduction in price (in currency units) for an increa
Multiple-Choice Questions on A. It is also then the derivative of theta with respect to the underlyin
Multiple-Choice Questions on B. Rho is typically expressed as the amount of money, per share o
Multiple-Choice Questions on C. The closest analogue to the delta is DV01, which is the reductio
Multiple-Choice Questions on D. Gamma is important because it corrects for the convexity of valu
3. The mathematical result of the formula for charm (see below) is expressed in delta/year.
Multiple-Choice Questions on A. For this reason, rho is the least used of the first-order Greeks.
Multiple-Choice Questions on B. Unlike the lambda, which is an elasticity (a percentage change i
Multiple-Choice Questions on C. [11]■ Gamma is greatest approximately at-the-money (ATM) an
Multiple-Choice Questions on D. The mathematical result of the formula for charm (see below) is
4. The beta (β) of a stock or portfolio is a number describing the volatility of an asset in relation to the volat
Multiple-Choice Questions on A. Theta,[4] ■■■■Θ■■■{\displaystyle \Theta }■■, measures the
Multiple-Choice Questions on B. Similarly, if a put contract has a delta of −0.25, the trader might e
Multiple-Choice Questions on C. For a vanilla option, delta will be a number between 0.0 and 1.0
Multiple-Choice Questions on D. The beta (β) of a stock or portfolio is a number describing the vo
5. See also Key rate duration.

Multiple-Choice Questions on A. The Greeks in the Black–Scholes model (a relatively simple idea
Multiple-Choice Questions on B. See also Key rate duration.
Multiple-Choice Questions on C. (Specifically, vomma is positive where the usual d1 and d2 term
Multiple-Choice Questions on D. Therefore, reported theta is usually divided by number of days in
6. All options (both calls and puts) will gain value with rising volatility.
Multiple-Choice Questions on A. [4] Ultima is a third-order derivative of the option value to volatili
Multiple-Choice Questions on B. Ultima[4] measures the sensitivity of the option vomma with resp
Multiple-Choice Questions on C. All options (both calls and puts) will gain value with rising volatili
Multiple-Choice Questions on D. [23]■■Cross vanna measures the rate of change of vega in one
7. Veta[16], vega decay or DvegaDtime[15] measures the rate of change in the vega with respect to the pa
Multiple-Choice Questions on A. Charm has also been called DdeltaDtime.
Multiple-Choice Questions on B. To address this, effective duration and effective convexity are in
Multiple-Choice Questions on C. Veta[16], vega decay or DvegaDtime[15] measures the rate of c
Multiple-Choice Questions on D. Collectively these have also been called the risk sensitivities,[1]
8. The most commonly quoted are 25 delta put, 50 delta put/50 delta call, and 25 delta call.
Multiple-Choice Questions on A. The glyph used is a non-standard majuscule version of the Gree
Multiple-Choice Questions on B. The actual probability of an option finishing in the money is its du
Multiple-Choice Questions on C. The most commonly quoted are 25 delta put, 50 delta put/50 de
Multiple-Choice Questions on D. Epsilon,[9] ■■■■ε■■■{\displaystyle \varepsilon }■■ (also kno
9. For a given:■■where■■Under the Black model (commonly used for commodities and options on future
Multiple-Choice Questions on A. For a given:■■where■■Under the Black model (commonly use
Multiple-Choice Questions on B. In general, the higher the convexity, the more sensitive the bond
Multiple-Choice Questions on C. Vomma is positive for long options away from the money, and in
Multiple-Choice Questions on D. The sign and percentage are often dropped – the sign is implicit
10. The inverse is true for short options.

Multiple-Choice Questions on A. Analogous to the lambda is the modified duration, which is the p
Multiple-Choice Questions on B. The inverse is true for short options.
Multiple-Choice Questions on C. Vega can be an important Greek to monitor for an option trader,
Multiple-Choice Questions on D. (Whether to count calendar days or business days varies by per
11. Most long options have positive gamma and most short options have negative gamma.
Multiple-Choice Questions on A. (Related is CS01, measuring sensitivity to credit spread.)
Multiple-Choice Questions on B. Therefore, reported theta is usually divided by number of days in
Multiple-Choice Questions on C. [20] It is also commonly known as cega.
Multiple-Choice Questions on D. Most long options have positive gamma and most short options
12. Analogous to the lambda is the modified duration, which is the percentage change in the market price o
Multiple-Choice Questions on A. Therefore, reported theta is usually divided by number of days in
Multiple-Choice Questions on B. Analogous to the lambda is the modified duration, which is the p
Multiple-Choice Questions on C. With positive vomma, a position will become long vega as implie
Multiple-Choice Questions on D. See the formulas below.
13. The names "color" and "charm" presumably derive from the use of these terms for exotic properties of
Multiple-Choice Questions on A. This partial derivative has a fundamental role in the Breeden–Lit
Multiple-Choice Questions on B. Epsilon,[9] ■■■■ε■■■{\displaystyle \varepsilon }■■ (also know
Multiple-Choice Questions on C. The names "color" and "charm" presumably derive from the use
Multiple-Choice Questions on D. The actual probability of an option finishing in the money is its d
14. For a vanilla option, delta will be a number between 0.0 and 1.0 for a long call (or a short put) and 0.0 a
Multiple-Choice Questions on A. 50 Delta put and 50 Delta call are not quite identical, due to spo
Multiple-Choice Questions on B. The remaining sensitivities in this list are common enough that t
Multiple-Choice Questions on D. It is common practice to divide the mathematical result of veta b
15. At-the-money calls and puts have a delta of approximately 0.5 and −0.5 respectively with a slight bias t
Multiple-Choice Questions on A. This name is now in a wider use, including, for example, the Ma
Multiple-Choice Questions on B. The remaining sensitivities in this list are common enough that t
Multiple-Choice Questions on C. At-the-money calls and puts have a delta of approximately 0.5 a
Multiple-Choice Questions on D. [4] Ultima is a third-order derivative of the option value to volatili
16. The mathematical result of the formula for color (see below) is expressed in gamma per year.
Multiple-Choice Questions on A. It is common practice to divide the mathematical result of veta b
Multiple-Choice Questions on B. Although rho (the partial derivative with respect to the risk-free in
Multiple-Choice Questions on C. [23]■■The Greeks of European options (calls and puts) under t
Multiple-Choice Questions on D. The mathematical result of the formula for color (see below) is e
17. Speed can be important to monitor when delta-hedging or gamma-hedging a portfolio.

Multiple-Choice Questions on A. Fugit is usefully computed for hedging purposes — for example,
Multiple-Choice Questions on B. For a given:■■where■■Under the Black model (commonly use
Multiple-Choice Questions on C. In general, the higher the convexity, the more sensitive the bond
Multiple-Choice Questions on D. Speed can be important to monitor when delta-hedging or gamm
18. When a trader seeks to establish an effective delta-hedge for a portfolio, the trader may also seek to ne
Multiple-Choice Questions on A. Unlike the lambda, which is an elasticity (a percentage change i
Multiple-Choice Questions on B. When a trader seeks to establish an effective delta-hedge for a p
Multiple-Choice Questions on C. For a bond with an embedded option, the standard yield to matu
Multiple-Choice Questions on D. However, by convention, practitioners usually prefer to refer to t
19. [23]■■Cross vanna measures the rate of change of vega in one underlying due to a change in the leve
Multiple-Choice Questions on A. [23]■■Cross vanna measures the rate of change of vega in one
Multiple-Choice Questions on C. Charm is a second-order derivative of the option value, once to
Multiple-Choice Questions on D. In general, the higher the convexity, the more sensitive the bond
20. Vega is the derivative of the option value with respect to the volatility of the underlying asset.
Multiple-Choice Questions on A. Collectively these have also been called the risk sensitivities,[1]
Multiple-Choice Questions on B. Veta[16], vega decay or DvegaDtime[15] measures the rate of c
Multiple-Choice Questions on C. Vega is the derivative of the option value with respect to the vola
Multiple-Choice Questions on D. This is convenient because the option will (instantaneously) beh
21. This is also sometimes referred to as the gamma of the gamma[2]:■799■ or DgammaDspot.
Multiple-Choice Questions on A. Vega can be an important Greek to monitor for an option trader,
Multiple-Choice Questions on B. [10] Information geometry offers another (trigonometric) interpre
Multiple-Choice Questions on C. Except under extreme circumstances, the value of an option is l
Multiple-Choice Questions on D. This is also sometimes referred to as the gamma of the gamma[
22. Delta is the first derivative of the value ■■■■V■■■{\displaystyle V}■■ of the option with respect to th
Multiple-Choice Questions on A. Delta is the first derivative of the value ■■■■V■■■{\displaysty
Multiple-Choice Questions on C. A positive beta means that the asset's returns generally follow th
Multiple-Choice Questions on D. Gamma is important because it corrects for the convexity of valu
23. Vega is typically expressed as the amount of money per underlying share that the option's value will ga
Multiple-Choice Questions on A. Vega is typically expressed as the amount of money per underly
Multiple-Choice Questions on B. When an option nears expiration, color itself may change quickly
Multiple-Choice Questions on C. All options (both calls and puts) will gain value with rising volatili
Multiple-Choice Questions on D. If the underlying value has continuous second partial derivatives
24. For deep-in-the-money options of some types (for puts in Black-Scholes, puts and calls in Black's), as d
Multiple-Choice Questions on A. Analogous to the lambda is the modified duration, which is the p
Multiple-Choice Questions on B. For deep-in-the-money options of some types (for puts in Black-
Multiple-Choice Questions on D. Equivalently, it measures the rate of change of delta in the seco
25. Color,[13] gamma decay[19] or DgammaDtime[13] measures the rate of change of gamma over the pa
Multiple-Choice Questions on B. It holds that ■■■■λ■=■Ω■=■∆■×■■■S■V■■■■■{\displays
Multiple-Choice Questions on C. Color,[13] gamma decay[19] or DgammaDtime[13] measures th
Multiple-Choice Questions on D. In general, the higher the convexity, the more sensitive the bond
26. In trading bonds and other fixed income securities, various measures of bond duration are used analog
Multiple-Choice Questions on A. [20]■■Cross volga measures the rate of change of vega in one
Multiple-Choice Questions on B. See also Key rate duration.
Multiple-Choice Questions on C. In trading bonds and other fixed income securities, various mea
Multiple-Choice Questions on D. time of an option's value is a positive number.
27. The Greeks in the Black–Scholes model (a relatively simple idealised model of certain financial market
Multiple-Choice Questions on A. Zomma can be a useful sensitivity to monitor when maintaining
Multiple-Choice Questions on B. [13] Charm can be an important Greek to measure/monitor when
Multiple-Choice Questions on C. The Greeks in the Black–Scholes model (a relatively simple idea
Multiple-Choice Questions on D. It is often useful to divide this by the number of days per year to
28. For this reason, rho is the least used of the first-order Greeks.
Multiple-Choice Questions on A. Several names such as "vega" (whose symbol is similar to the lo
Multiple-Choice Questions on B. In practice they will use more sophisticated models which go be
Multiple-Choice Questions on C. For this reason, rho is the least used of the first-order Greeks.
Multiple-Choice Questions on D. Bond convexity is one of the most basic and widely used forms
29. 0.01% per annum) in the yield, where yield is the underlying variable;■see Bond duration § Risk – dura
Multiple-Choice Questions on A. Similarly, if a put contract has a delta of −0.25, the trader might e
Multiple-Choice Questions on B. The dividend yield impact is in practice determined using a 10%
Multiple-Choice Questions on C. Vanna,[4] also referred to as DvegaDspot[13] and DdeltaDvol,[1
Multiple-Choice Questions on D. 0.01% per annum) in the yield, where yield is the underlying var
30. This use is fairly accurate when the number of days remaining until option expiration is large.
Multiple-Choice Questions on A. The fugit is the expected time to exercise an American or Bermu
Multiple-Choice Questions on B. Analogous to the lambda is the modified duration, which is the p
Multiple-Choice Questions on C. The beta (β) of a stock or portfolio is a number describing the vo
Multiple-Choice Questions on D. This use is fairly accurate when the number of days remaining u
31. This is due to put–call parity: a long call plus a short put (a call minus a put) replicates a forward, which
Multiple-Choice Questions on A. The inverse is true for short options.
Multiple-Choice Questions on B. Vomma,[4] volga,[15] vega convexity,[15] or DvegaDvol[15] mea
Multiple-Choice Questions on C. 50 Delta put and 50 Delta call are not quite identical, due to spo
Multiple-Choice Questions on D. This is due to put–call parity: a long call plus a short put (a call m
32. [5] For this reason some option traders use the absolute value of delta as an approximation for percent
Multiple-Choice Questions on A. The fugit is the expected time to exercise an American or Bermu
Multiple-Choice Questions on B. This is convenient because the option will (instantaneously) beh
Multiple-Choice Questions on C. [5] For this reason some option traders use the absolute value o
Multiple-Choice Questions on D. Presumably the name vega was adopted because the Greek let
33. In general, the higher the convexity, the more sensitive the bond price is to the change in interest rates
Multiple-Choice Questions on A. In general, the higher the convexity, the more sensitive the bond
Multiple-Choice Questions on B. For example, if a portfolio of 100 American call options on XYZ e
Multiple-Choice Questions on C. The value of an at-the-money option straddle, for example, is ex
Multiple-Choice Questions on D. These values are typically calculated using a tree-based model,
34. For example, if the delta of a portfolio of options in XYZ (expressed as shares of the underlying) is +2.7
Multiple-Choice Questions on A. Vera is the second derivative of the value function; once to volat
Multiple-Choice Questions on B. For example, if the delta of a portfolio of options in XYZ (express
Multiple-Choice Questions on C. See Volatility risk.
35. These numbers are commonly presented as a percentage of the total number of shares represented by
Multiple-Choice Questions on B. [13] Charm can be an important Greek to measure/monitor when
Multiple-Choice Questions on C. These numbers are commonly presented as a percentage of the
Multiple-Choice Questions on D. Vanna can be a useful sensitivity to monitor when maintaining a
36. Theta,[4] ■■■■Θ■■■{\displaystyle \Theta }■■, measures the sensitivity of the value of the derivative
Multiple-Choice Questions on A. And an initially vega-neutral, long-vomma position can be constr
Multiple-Choice Questions on B. Theta,[4] ■■■■Θ■■■{\displaystyle \Theta }■■, measures the
Multiple-Choice Questions on C. Charm has also been called DdeltaDtime.
Multiple-Choice Questions on D. Vega is typically expressed as the amount of money per underly
37. Vomma is the second derivative of the option value with respect to the volatility, or, stated another way
Multiple-Choice Questions on A. Vomma is the second derivative of the option value with respect
Multiple-Choice Questions on B. And an initially vega-neutral, long-vomma position can be constr
Multiple-Choice Questions on D. Epsilon,[9] ■■■■ε■■■{\displaystyle \varepsilon }■■ (also kno
38. See the formulas below.

Multiple-Choice Questions on A. Equivalently, it measures the rate of change of delta in the seco
Multiple-Choice Questions on B. By convention in options valuation formulas, ■■■■τ■■■■{\dis
Multiple-Choice Questions on C. Theta,[4] ■■■■Θ■■■{\displaystyle \Theta }■■, measures the
Multiple-Choice Questions on D. See the formulas below.
39. Unlike the lambda, which is an elasticity (a percentage change in output for a percentage change in inp
Multiple-Choice Questions on B. This is also sometimes referred to as the gamma of the gamma[
Multiple-Choice Questions on D. Unlike the lambda, which is an elasticity (a percentage change i
40. it is equivalent to DV01 divided by the market price).

Multiple-Choice Questions on A. In trading bonds and other fixed income securities, various meas
Multiple-Choice Questions on B. The (absolute value of) Delta is close to, but not identical with, th
Multiple-Choice Questions on C. it is equivalent to DV01 divided by the market price).
Multiple-Choice Questions on D. It is mathematically equivalent to DdeltaDvol, the sensitivity of th
41. [20]■■Cross volga measures the rate of change of vega in one underlying to a change in the volatility
Multiple-Choice Questions on A. Bond convexity is a measure of the sensitivity of the duration to
Multiple-Choice Questions on B. Several names such as "vega" (whose symbol is similar to the lo
Multiple-Choice Questions on C. [20]■■Cross volga measures the rate of change of vega in one
Multiple-Choice Questions on D. All options (both calls and puts) will gain value with rising volatili
42. If the value of a derivative is dependent on two or more underlyings, its Greeks are extended to include
Multiple-Choice Questions on B. If the value of a derivative is dependent on two or more underlyi
Multiple-Choice Questions on C. The actual probability of an option finishing in the money is its d
Multiple-Choice Questions on D. An asset has a Beta of zero if its returns change independently
43. Color is a third-order derivative of the option value, twice to underlying asset price and once to time.
Multiple-Choice Questions on A. Color is a third-order derivative of the option value, twice to unde
Multiple-Choice Questions on B. All options (both calls and puts) will gain value with rising volatili
Multiple-Choice Questions on C. [13] Speed is the third derivative of the value function with respe
Multiple-Choice Questions on D. Numerically, all first-order sensitivities can be interpreted as spr
44. 50 Delta put and 50 Delta call are not quite identical, due to spot and forward differing by the discount f
Multiple-Choice Questions on A. The (absolute value of) Delta is close to, but not identical with, th
Multiple-Choice Questions on B. 50 Delta put and 50 Delta call are not quite identical, due to spo
Multiple-Choice Questions on C. For example, if an out-of-the-money call option has a delta of 0.
Multiple-Choice Questions on D. Veta[16], vega decay or DvegaDtime[15] measures the rate of c
45. In mathematical finance, the Greeks are the quantities (known in calculus as partial derivatives; first-or
Multiple-Choice Questions on A. In mathematical finance, the Greeks are the quantities (known in
Multiple-Choice Questions on B. The sign and percentage are often dropped – the sign is implicit
Multiple-Choice Questions on C. Since the delta of underlying asset is always 1.0, the trader coul
Multiple-Choice Questions on D. The difference between the delta of a call and the delta of a put
46. Vega[4] measures sensitivity to volatility.

Multiple-Choice Questions on C. Vega[4] measures sensitivity to volatility.
Multiple-Choice Questions on D. Ultima[4] measures the sensitivity of the option vomma with resp
47. [20] It is also commonly known as cega.

Multiple-Choice Questions on C. Color is a third-order derivative of the option value, twice to unde
Multiple-Choice Questions on D. [20] It is also commonly known as cega.
48. It is often useful to divide this by the number of days per year to arrive at the change in gamma per day
Multiple-Choice Questions on A. The symbol kappa, ■■■■κ■■■{\displaystyle \kappa }■■, is so
Multiple-Choice Questions on B. It is often useful to divide this by the number of days per year to
Multiple-Choice Questions on C. See the formulas below.
Multiple-Choice Questions on D. The beta (β) of a stock or portfolio is a number describing the vo
49. The most common of the Greeks are the first order derivatives: delta, vega, theta and rho; as well as g
Multiple-Choice Questions on A. The most common of the Greeks are the first order derivatives: d
Multiple-Choice Questions on C. The dividend yield impact is in practice determined using a 10%
Multiple-Choice Questions on D. Vera[17] (sometimes rhova)[17] measures the rate of change in
50. If the underlying value has continuous second partial derivatives, then ■■■■■Vanna■■=■■■■∂■∆■
Multiple-Choice Questions on A. If the underlying value has continuous second partial derivatives
Multiple-Choice Questions on D. The sign and percentage are often dropped – the sign is implicit
51. This name is now in a wider use, including, for example, the Maple computer algebra software (which h
Multiple-Choice Questions on A. This name is now in a wider use, including, for example, the Ma
Multiple-Choice Questions on B. For a vanilla option, delta will be a number between 0.0 and 1.0
Multiple-Choice Questions on C. Therefore, reported theta is usually divided by number of days in
Multiple-Choice Questions on D. If the value of delta for an option is known, one can calculate the
52. (Albeit for only small movements of the underlying, a short amount of time and not-withstanding change
Multiple-Choice Questions on A. (Specifically, vomma is positive where the usual d1 and d2 term
Multiple-Choice Questions on B. (Albeit for only small movements of the underlying, a short amou
Multiple-Choice Questions on C. If the value of a derivative is dependent on two or more underlyi
Multiple-Choice Questions on D. Each Greek measures the sensitivity of the value of a portfolio to
53. (Whether to count calendar days or business days varies by personal choice, with arguments for both.)
Multiple-Choice Questions on A. With positive vomma, a position will become long vega as implie
Multiple-Choice Questions on B. See the formulas below.
Multiple-Choice Questions on C. (Whether to count calendar days or business days varies by per
54. Charm has also been called DdeltaDtime.

Multiple-Choice Questions on B. Delta,[4] ■■■■∆■■■{\displaystyle \Delta }■■, measures the ra
Multiple-Choice Questions on C. Charm has also been called DdeltaDtime.
Multiple-Choice Questions on D. Therefore, reported theta is usually divided by number of days in
55. [4] Ultima is a third-order derivative of the option value to volatility.
Multiple-Choice Questions on B. The total delta of a complex portfolio of positions on the same un
Multiple-Choice Questions on C. [4] Ultima is a third-order derivative of the option value to volatili
Multiple-Choice Questions on D. Fugit is usefully computed for hedging purposes — for example,
56. Vega can be an important Greek to monitor for an option trader, especially in volatile markets, since the
Multiple-Choice Questions on B. The word 'Vera' was coined by R. Naryshkin in early 2012 when
Multiple-Choice Questions on C. [21][22]■■Cross gamma measures the rate of change of delta i
Multiple-Choice Questions on D. In trading bonds and other fixed income securities, various mea
57. Although rho (the partial derivative with respect to the risk-free interest rate) is a primary input into the B
Multiple-Choice Questions on A. Although rho (the partial derivative with respect to the risk-free in
Multiple-Choice Questions on B. Bond convexity is a measure of the sensitivity of the duration to
Multiple-Choice Questions on C. In trading bonds and other fixed income securities, various mea
Multiple-Choice Questions on D. When an option nears expiration, charm itself may change quick
58. The sign and percentage are often dropped – the sign is implicit in the option type (negative for put, po
Multiple-Choice Questions on A. The change in option value is typically negative because the pas
Multiple-Choice Questions on B. Zomma can be a useful sensitivity to monitor when maintaining
Multiple-Choice Questions on C. The sign and percentage are often dropped – the sign is implicit
59. The use of Greek letter names is presumably by extension from the common finance terms alpha and b
Multiple-Choice Questions on B. The use of Greek letter names is presumably by extension from
Multiple-Choice Questions on C. A negative beta means that the asset's returns generally move o
Multiple-Choice Questions on D. Zomma has also been referred to as DgammaDvol.
60. In fact, typically, the literal first derivative w.r.t.

Multiple-Choice Questions on A. The (absolute value of) Delta is close to, but not identical with, th
Multiple-Choice Questions on B. The use of Greek letter names is presumably by extension from
Multiple-Choice Questions on C. In fact, typically, the literal first derivative w.r.t.
Multiple-Choice Questions on D. When a trader seeks to establish an effective delta-hedge for a
61. To address this, effective duration and effective convexity are introduced.
Multiple-Choice Questions on A. In fact, typically, the literal first derivative w.r.t.
Multiple-Choice Questions on B. To address this, effective duration and effective convexity are in
Multiple-Choice Questions on C. This portfolio will then retain its total value regardless of which d
Multiple-Choice Questions on D. [13] Speed is the third derivative of the value function with respe
62. As time passes, with decreasing time to expiry and all else being equal, an option's extrinsic value decr
Multiple-Choice Questions on B. Except under extreme circumstances, the value of an option is le
Multiple-Choice Questions on C. Vanna can be a useful sensitivity to monitor when maintaining a
Multiple-Choice Questions on D. As time passes, with decreasing time to expiry and all else being
63. Long options have a positive relationship with gamma because as price increases, Gamma increases a
Multiple-Choice Questions on A. Long options have a positive relationship with gamma because a
Multiple-Choice Questions on B. Practitioners commonly prefer to view theta in terms of change i
Multiple-Choice Questions on C. [10] Information geometry offers another (trigonometric) interpre
64. The dividend yield impact is in practice determined using a 10% increase in those yields.
Multiple-Choice Questions on A. For a vanilla option, delta will be a number between 0.0 and 1.0
Multiple-Choice Questions on B. Correlation delta measures the sensitivity of the derivative's valu
Multiple-Choice Questions on C. Vera is the second derivative of the value function; once to volat
Multiple-Choice Questions on D. The dividend yield impact is in practice determined using a 10%
65. Typically (but see below), this means an option loses value with time, which is conventionally referred t
Multiple-Choice Questions on A. Typically (but see below), this means an option loses value with
Multiple-Choice Questions on B. With positive vomma, a position will become long vega as implie
66. For a bond with an embedded option, the standard yield to maturity based calculations here do not con
Multiple-Choice Questions on B. For a bond with an embedded option, the standard yield to matu
Multiple-Choice Questions on C. And an initially vega-neutral, long-vomma position can be constr
Multiple-Choice Questions on D. Vomma is the second derivative of the option value with respect
67. Ultima[4] measures the sensitivity of the option vomma with respect to change in volatility.
Multiple-Choice Questions on A. Ultima[4] measures the sensitivity of the option vomma with resp
Multiple-Choice Questions on B. The word 'Vera' was coined by R. Naryshkin in early 2012 when
Multiple-Choice Questions on C. This partial derivative has a fundamental role in the Breeden–Lit
68. For example, if an out-of-the-money call option has a delta of 0.15, the trader might estimate that the o
Multiple-Choice Questions on A. For example, if an out-of-the-money call option has a delta of 0.1
Multiple-Choice Questions on B. If the value of a derivative is dependent on two or more underlyi
Multiple-Choice Questions on C. Each Greek measures the sensitivity of the value of a portfolio to
Multiple-Choice Questions on D. [13] Speed is the third derivative of the value function with respe
69. Zomma can be a useful sensitivity to monitor when maintaining a gamma-hedged portfolio as zomma w
Multiple-Choice Questions on A. Gamma is the second derivative of the value function with respe
Multiple-Choice Questions on B. When an option nears expiration, charm itself may change quick
Multiple-Choice Questions on C. Zomma can be a useful sensitivity to monitor when maintaining
Multiple-Choice Questions on D. The players in the market make competitive trades involving ma
70. Speed[4] measures the rate of change in Gamma with respect to changes in the underlying price.
Multiple-Choice Questions on A. Speed[4] measures the rate of change in Gamma with respect to
Multiple-Choice Questions on B. [13] Speed is the third derivative of the value function with respe
Multiple-Choice Questions on C. It is similar to the concept of delta but expressed in percentage t
Multiple-Choice Questions on D. time of an option's value is a positive number.
71. (Specifically, vomma is positive where the usual d1 and d2 terms are of the same sign, which is true wh
Multiple-Choice Questions on B. Bond convexity is a measure of the sensitivity of the duration to
Multiple-Choice Questions on C. Gamma is the second derivative of the value function with respe
Multiple-Choice Questions on D. The mathematical result of the formula for color (see below) is e
72. Presumably the name vega was adopted because the Greek letter nu looked like a Latin vee, and vega
Multiple-Choice Questions on A. For example, if a portfolio of 100 American call options on XYZ e
Multiple-Choice Questions on B. Presumably the name vega was adopted because the Greek let
Multiple-Choice Questions on C. This is due to put–call parity: a long call plus a short put (a call m
Multiple-Choice Questions on D. Rho is typically expressed as the amount of money, per share o
73. time of an option's value is a positive number.
Multiple-Choice Questions on A. time of an option's value is a positive number.
Multiple-Choice Questions on B. [20] It is also commonly known as cega.
Multiple-Choice Questions on C. Rho,[4] ■■■■ρ■■■{\displaystyle \rho }■■, measures sensitivi
Multiple-Choice Questions on D. [10]■■■■Gamma,[4] ■■■■Γ■■■{\displaystyle \Gamma }■■,
74. And an initially vega-neutral, long-vomma position can be constructed from ratios of options at different
Multiple-Choice Questions on A. Vanna can be a useful sensitivity to monitor when maintaining a
Multiple-Choice Questions on B. Veta is the second derivative of the value function; once to volat
Multiple-Choice Questions on C. In general, the higher the convexity, the more sensitive the bond
Multiple-Choice Questions on D. And an initially vega-neutral, long-vomma position can be constr
75. Bond convexity is a measure of the sensitivity of the duration to changes in interest rates, the second d
Multiple-Choice Questions on A. 'Vera' was picked to sound similar to a combination of Vega and
Multiple-Choice Questions on B. Gamma is the second derivative of the value function with respe
Multiple-Choice Questions on C. When an option nears expiration, charm itself may change quick
Multiple-Choice Questions on D. Bond convexity is a measure of the sensitivity of the duration to
76. [6]■■Given a European call and put option for the same underlying, strike price and time to maturity, a
Multiple-Choice Questions on A. Long options have a positive relationship with gamma because a
Multiple-Choice Questions on D. [6]■■Given a European call and put option for the same underly
77. Correlation delta measures the sensitivity of the derivative's value to a change in the correlation betwee
Multiple-Choice Questions on A. Correlation delta measures the sensitivity of the derivative's valu
Multiple-Choice Questions on B. Lambda,[4] ■■■■λ■■■{\displaystyle \lambda }■■, omega,[8]
Multiple-Choice Questions on C. The actual probability of an option finishing in the money is its d
78. Practitioners commonly prefer to view theta in terms of change in number of days to expiry rather than
Multiple-Choice Questions on B. This use is fairly accurate when the number of days remaining u
Multiple-Choice Questions on C. Practitioners commonly prefer to view theta in terms of change i
79. [13] Speed is the third derivative of the value function with respect to the underlying spot price.
Multiple-Choice Questions on A. The change in option value is typically negative because the pas
Multiple-Choice Questions on C. [13] Speed is the third derivative of the value function with respe
Multiple-Choice Questions on D. Long options have a positive relationship with gamma because
80. [13] Zomma is the third derivative of the option value, twice to underlying asset price and once to volati
Multiple-Choice Questions on A. The mathematical result of the formula for color (see below) is e
Multiple-Choice Questions on B. Obviously, this sensitivity can only be applied to derivative instru
Multiple-Choice Questions on C. [13] Zomma is the third derivative of the option value, twice to un
Multiple-Choice Questions on D. it is equivalent to DV01 divided by the market price).
81. For example, if a portfolio of 100 American call options on XYZ each have a delta of 0.25 (= 25%), it wi
Multiple-Choice Questions on A. If the value of a derivative is dependent on two or more underlyi
Multiple-Choice Questions on B. For example, if a portfolio of 100 American call options on XYZ e
Multiple-Choice Questions on C. In mathematical finance, the Greeks are the quantities (known in
Multiple-Choice Questions on D. [23]■■Cross vanna measures the rate of change of vega in one
82. Therefore, reported theta is usually divided by number of days in a year.

Multiple-Choice Questions on B. (Whether to count calendar days or business days varies by per
Multiple-Choice Questions on C. For call options, it can be approximated using infinitesimal portfo
Multiple-Choice Questions on D. For a bond with an embedded option, the standard yield to matu
83. [10] Information geometry offers another (trigonometric) interpretation.

Multiple-Choice Questions on A. (Albeit for only small movements of the underlying, a short amou
Multiple-Choice Questions on B. The glyph used is a non-standard majuscule version of the Gree
Multiple-Choice Questions on C. Rho is typically expressed as the amount of money, per share o
Multiple-Choice Questions on D. [10] Information geometry offers another (trigonometric) interpre
84. Rho is typically expressed as the amount of money, per share of the underlying, that the value of the o
Multiple-Choice Questions on B. This portfolio will then retain its total value regardless of which d
Multiple-Choice Questions on D. Rho is typically expressed as the amount of money, per share o
85. Sometimes deep-in-the-money options will gain more from increasing discount factors than they lose fr
Multiple-Choice Questions on A. Sometimes deep-in-the-money options will gain more from incre
Multiple-Choice Questions on B. An asset has a Beta of zero if its returns change independently o
Multiple-Choice Questions on D. For example, if an out-of-the-money call option has a delta of 0.
86. Vanna,[4] also referred to as DvegaDspot[13] and DdeltaDvol,[13] is a second-order derivative of the o
Multiple-Choice Questions on B. Vanna,[4] also referred to as DvegaDspot[13] and DdeltaDvol,[1
Multiple-Choice Questions on C. While extrinsic value is decreasing with time passing, sometime
87. Epsilon,[9] ■■■■ε■■■{\displaystyle \varepsilon }■■ (also known as psi, ■■■■ψ■■■{\displaystyle \p

Multiple-Choice Questions on A. 0.01% per annum) in the yield, where yield is the underlying var
Multiple-Choice Questions on C. The mathematical result of the formula for color (see below) is e
88. It holds that ■■■■λ■=■Ω■=■∆■×■■■S■V■■■■■{\displaystyle \lambda =\Omega =\Delta \times {

Multiple-Choice Questions on A. It holds that ■■■■λ■=■Ω■=■∆■×■■■S■V■■■■■{\displays
Multiple-Choice Questions on B. It is often useful to divide this by the number of days per year to
Multiple-Choice Questions on C. For example, if a portfolio of 100 American call options on XYZ e
Multiple-Choice Questions on D. Color,[13] gamma decay[19] or DgammaDtime[13] measures th
89. Except under extreme circumstances, the value of an option is less sensitive to changes in the risk-free
Multiple-Choice Questions on B. Therefore, reported theta is usually divided by number of days in
Multiple-Choice Questions on C. Except under extreme circumstances, the value of an option is l
Multiple-Choice Questions on D. If the value of delta for an option is known, one can calculate the
90. It is often useful to divide this by the number of days per year to arrive at the delta decay per day.
Multiple-Choice Questions on B. It is common practice to divide the mathematical result of veta b
91. This use is fairly accurate when the number of days remaining until option expiration is large.
Multiple-Choice Questions on A. The use of Greek letter names is presumably by extension from
Multiple-Choice Questions on B. Several names such as "vega" (whose symbol is similar to the lo
Multiple-Choice Questions on C. This use is fairly accurate when the number of days remaining u
Multiple-Choice Questions on D. Delta,[4] ■■■■∆■■■{\displaystyle \Delta }■■, measures the ra
92. Since the delta of underlying asset is always 1.0, the trader could delta-hedge his entire position in the
Multiple-Choice Questions on B. Since the delta of underlying asset is always 1.0, the trader coul
Multiple-Choice Questions on C. Obviously, this sensitivity can only be applied to derivative instru
Multiple-Choice Questions on D. It holds that ■■■■λ■=■Ω■=■∆■×■■■S■V■■■■■{\displays
93. The players in the market make competitive trades involving many billions (of $, £ or €) of underlying e
Multiple-Choice Questions on A. The players in the market make competitive trades involving ma
Multiple-Choice Questions on B. For a vanilla option, delta will be a number between 0.0 and 1.0
Multiple-Choice Questions on C. Vega is not the name of any Greek letter.
94. Obviously, this sensitivity can only be applied to derivative instruments of equity products.
Multiple-Choice Questions on A. Obviously, this sensitivity can only be applied to derivative instru
Multiple-Choice Questions on B. Gamma is important because it corrects for the convexity of valu
Multiple-Choice Questions on C. The symbol kappa, ■■■■κ■■■{\displaystyle \kappa }■■, is so
95. However, by convention, practitioners usually prefer to refer to theta exposure ("decay") of a long optio
Multiple-Choice Questions on A. [13] Charm can be an important Greek to measure/monitor when
Multiple-Choice Questions on C. However, by convention, practitioners usually prefer to refer to t
Multiple-Choice Questions on D. The use of Greek letter names is presumably by extension from
96. The word 'Vera' was coined by R. Naryshkin in early 2012 when this sensitivity needed to be used in pr
Multiple-Choice Questions on A. The use of Greek letter names is presumably by extension from
Multiple-Choice Questions on B. The names "color" and "charm" presumably derive from the use
Multiple-Choice Questions on C. [6]■■Given a European call and put option for the same underly
Multiple-Choice Questions on D. The word 'Vera' was coined by R. Naryshkin in early 2012 when
97. [23]■■The Greeks of European options (calls and puts) under the Black–Scholes model are calculated
Multiple-Choice Questions on A. For call options, it can be approximated using infinitesimal portfo
Multiple-Choice Questions on B. [23]■■The Greeks of European options (calls and puts) under th
Multiple-Choice Questions on C. Since the delta of underlying asset is always 1.0, the trader coul
Multiple-Choice Questions on D. Charm is a second-order derivative of the option value, once to
98. Numerically, all first-order sensitivities can be interpreted as spreads in expected returns.
Multiple-Choice Questions on A. Numerically, all first-order sensitivities can be interpreted as spre
Multiple-Choice Questions on B. When an option nears expiration, charm itself may change quick
Multiple-Choice Questions on C. [13] Zomma is the third derivative of the option value, twice to un
Multiple-Choice Questions on D. For example, if the delta of a portfolio of options in XYZ (express
99. A negative beta means that the asset's returns generally move opposite the market's returns: one will t
Multiple-Choice Questions on B. A negative beta means that the asset's returns generally move o
Multiple-Choice Questions on C. The symbol kappa, ■■■■κ■■■{\displaystyle \kappa }■■, is so
Multiple-Choice Questions on D. (Specifically, vomma is positive where the usual d1 and d2 term
100. Equivalently, it measures the rate of change of delta in the second underlying due to a change in the v
Multiple-Choice Questions on B. These numbers are commonly presented as a percentage of the
Multiple-Choice Questions on C. Presumably the name vega was adopted because the Greek let
101. Gamma is the second derivative of the value function with respect to the underlying price.
Multiple-Choice Questions on A. Gamma is the second derivative of the value function with respe
Multiple-Choice Questions on B. For this reason, those Greeks which are particularly useful for he
Multiple-Choice Questions on C. This is due to put–call parity: a long call plus a short put (a call m
Multiple-Choice Questions on D. Ultima has also been referred to as DvommaDvol.
102. The fugit is the expected time to exercise an American or Bermudan option.
Multiple-Choice Questions on A. See also Key rate duration.
Multiple-Choice Questions on B. Speed can be important to monitor when delta-hedging or gamm
Multiple-Choice Questions on C. The fugit is the expected time to exercise an American or Bermu
Multiple-Choice Questions on D. Vomma,[4] volga,[15] vega convexity,[15] or DvegaDvol[15] mea
103. Gamma is important because it corrects for the convexity of value.
Multiple-Choice Questions on B. Gamma is important because it corrects for the convexity of valu
Multiple-Choice Questions on C. The mathematical result of the formula for charm (see below) is
Multiple-Choice Questions on D. Several names such as "vega" (whose symbol is similar to the lo
104. Vomma,[4] volga,[15] vega convexity,[15] or DvegaDvol[15] measures second-order sensitivity to vola
Multiple-Choice Questions on A. Note that the gamma and vega formulas are the same for calls a
Multiple-Choice Questions on C. For deep-in-the-money options of some types (for puts in Black-
Multiple-Choice Questions on D. If the value of a derivative is dependent on two or more underlyi
105. For this reason, those Greeks which are particularly useful for hedging—such as delta, theta, and veg
Multiple-Choice Questions on A. Rho,[4] ■■■■ρ■■■{\displaystyle \rho }■■, measures sensitivit
Multiple-Choice Questions on B. These values are typically calculated using a tree-based model,
Multiple-Choice Questions on D. For this reason, those Greeks which are particularly useful for h
106. Charm[4] or delta decay[14] measures the instantaneous rate of change of delta over the passage of
Multiple-Choice Questions on A. Charm[4] or delta decay[14] measures the instantaneous rate of
Multiple-Choice Questions on B. This is due to put–call parity: a long call plus a short put (a call m
Multiple-Choice Questions on D. The difference between the delta of a call and the delta of a put
107. Vomma is positive for long options away from the money, and initially increases with distance from the
Multiple-Choice Questions on B. This partial derivative has a fundamental role in the Breeden–Lit
108. The glyph used is a non-standard majuscule version of the Greek letter nu (■■■■ν■■■{\textstyle \n
Multiple-Choice Questions on A. For example, if the delta of a call is 0.42 then one can compute
Multiple-Choice Questions on C. By convention in options valuation formulas, ■■■■τ■■■■{\dis
109. [10]■■■■Gamma,[4] ■■■■Γ■■■{\displaystyle \Gamma }■■, measures the rate of change in the d
Multiple-Choice Questions on A. Correlation delta measures the sensitivity of the derivative's valu
Multiple-Choice Questions on B. [10]■■■■Gamma,[4] ■■■■Γ■■■{\displaystyle \Gamma }■■,
Multiple-Choice Questions on C. [11]■ Gamma is greatest approximately at-the-money (ATM) an
Multiple-Choice Questions on D. The closest analogue to the delta is DV01, which is the reductio
110. Fugit is usefully computed for hedging purposes — for example, one can represent flows of an Americ
Multiple-Choice Questions on C. Lambda,[4] ■■■■λ■■■{\displaystyle \lambda }■■, omega,[8]
Multiple-Choice Questions on D. By put–call parity, long a call and short a put is equivalent to a fo
111. The actual probability of an option finishing in the money is its dual delta, which is the first derivative o
Multiple-Choice Questions on A. [13] Zomma is the third derivative of the option value, twice to un
Multiple-Choice Questions on B. The actual probability of an option finishing in the money is its du
Multiple-Choice Questions on C. Each Greek measures the sensitivity of the value of a portfolio to
Multiple-Choice Questions on D. The dividend yield impact is in practice determined using a 10%
112. To derive the delta of a call from a put, one can similarly take −0.58 and add 1 to get 0.42.
Multiple-Choice Questions on A. Delta is the first derivative of the value ■■■■V■■■{\displaysty
Multiple-Choice Questions on B. The difference between the delta of a call and the delta of a put
Multiple-Choice Questions on C. This name is now in a wider use, including, for example, the Ma
Multiple-Choice Questions on D. To derive the delta of a call from a put, one can similarly take −0
113. The name is used because the most common of these sensitivities are denoted by Greek letters (as a
Multiple-Choice Questions on A. The name is used because the most common of these sensitivit
Multiple-Choice Questions on B. Rho,[4] ■■■■ρ■■■{\displaystyle \rho }■■, measures sensitivit
Multiple-Choice Questions on C. Vera is the second derivative of the value function; once to volat
Multiple-Choice Questions on D. For example, if a portfolio of 100 American call options on XYZ e
114. Zomma has also been referred to as DgammaDvol.

Multiple-Choice Questions on A. In mathematical finance, the Greeks are the quantities (known in
Multiple-Choice Questions on B. Zomma has also been referred to as DgammaDvol.
Multiple-Choice Questions on C. By convention in options valuation formulas, ■■■■τ■■■■{\dis
Multiple-Choice Questions on D. Ultima has also been referred to as DvommaDvol.
115. For example, if the delta of a call is 0.42 then one can compute the delta of the corresponding put at t
Multiple-Choice Questions on B. This name is now in a wider use, including, for example, the Ma
Multiple-Choice Questions on C. Speed can be important to monitor when delta-hedging or gamm
Multiple-Choice Questions on D. For example, if the delta of a call is 0.42 then one can compute
116. [11]■ Gamma is greatest approximately at-the-money (ATM) and diminishes the further out you go ei
Multiple-Choice Questions on B. [11]■ Gamma is greatest approximately at-the-money (ATM) an
Multiple-Choice Questions on C. [10]■■■■Gamma,[4] ■■■■Γ■■■{\displaystyle \Gamma }■■,
Multiple-Choice Questions on D. While extrinsic value is decreasing with time passing, sometime
117. With positive vomma, a position will become long vega as implied volatility increases and short vega a
Multiple-Choice Questions on A. 50 Delta put and 50 Delta call are not quite identical, due to spo
Multiple-Choice Questions on B. An asset has a Beta of zero if its returns change independently o
Multiple-Choice Questions on C. Vega is not the name of any Greek letter.
Multiple-Choice Questions on D. With positive vomma, a position will become long vega as implie
118. Vera[17] (sometimes rhova)[17] measures the rate of change in rho with respect to volatility.
Multiple-Choice Questions on A. Vera[17] (sometimes rhova)[17] measures the rate of change in
Multiple-Choice Questions on B. Bond convexity is one of the most basic and widely used forms o
Multiple-Choice Questions on C. [6]■■Given a European call and put option for the same underly
119. 'Vera' was picked to sound similar to a combination of Vega and Rho, its respective first-order Greeks
Multiple-Choice Questions on B. It is mathematically equivalent to DdeltaDvol, the sensitivity of th
Multiple-Choice Questions on C. These numbers are commonly presented as a percentage of the
Multiple-Choice Questions on D. 'Vera' was picked to sound similar to a combination of Vega and
120. Charm is a second-order derivative of the option value, once to price and once to the passage of time
Multiple-Choice Questions on B. For a bond with an embedded option, the standard yield to matu
Multiple-Choice Questions on C. The mathematical result of the formula for charm (see below) is
Multiple-Choice Questions on D. Charm is a second-order derivative of the option value, once to
121. Color can be an important sensitivity to monitor when maintaining a gamma-hedged portfolio as it can
Multiple-Choice Questions on A. For example, if the delta of a portfolio of options in XYZ (express
Multiple-Choice Questions on B. Delta is the first derivative of the value ■■■■V■■■{\displaysty
Multiple-Choice Questions on D. Color can be an important sensitivity to monitor when maintainin
122. It is also then the derivative of theta with respect to the underlying's price.
Multiple-Choice Questions on A. Charm[4] or delta decay[14] measures the instantaneous rate of
Multiple-Choice Questions on B. Note that the gamma and vega formulas are the same for calls a
Multiple-Choice Questions on D. It is also then the derivative of theta with respect to the underlyin
123. The difference between the delta of a call and the delta of a put at the same strike is equal to one.
Multiple-Choice Questions on A. 'Vera' was picked to sound similar to a combination of Vega and
Multiple-Choice Questions on B. The difference between the delta of a call and the delta of a put
Multiple-Choice Questions on C. In practice they will use more sophisticated models which go be
Multiple-Choice Questions on D. It is similar to the concept of delta but expressed in percentage t
124. This portfolio will then retain its total value regardless of which direction the price of XYZ moves.
Multiple-Choice Questions on B. This portfolio will then retain its total value regardless of which d
Multiple-Choice Questions on C. Rho is typically expressed as the amount of money, per share o
Multiple-Choice Questions on D. See Volatility risk.
125. Veta is the second derivative of the value function; once to volatility and once to time.
Multiple-Choice Questions on A. [10]■■■■Gamma,[4] ■■■■Γ■■■{\displaystyle \Gamma }■■,
Multiple-Choice Questions on B. The mathematical result of the formula for color (see below) is e
Multiple-Choice Questions on C. See also Key rate duration.
Multiple-Choice Questions on D. Veta is the second derivative of the value function; once to volat
126. Note that the gamma and vega formulas are the same for calls and puts.
Multiple-Choice Questions on A. Note that the gamma and vega formulas are the same for calls a
Multiple-Choice Questions on B. For this reason, those Greeks which are particularly useful for he
Multiple-Choice Questions on D. Color is a third-order derivative of the option value, twice to unde
127. The symbol kappa, ■■■■κ■■■{\displaystyle \kappa }■■, is sometimes used (by academics) instea
Multiple-Choice Questions on A. These values are typically calculated using a tree-based model,
Multiple-Choice Questions on D. The symbol kappa, ■■■■κ■■■{\displaystyle \kappa }■■, is so
128. When an option nears expiration, color itself may change quickly, rendering full day estimates of gam
Multiple-Choice Questions on A. Except under extreme circumstances, the value of an option is le
Multiple-Choice Questions on B. When an option nears expiration, color itself may change quickly
Multiple-Choice Questions on C. By put–call parity, long a call and short a put is equivalent to a fo
129. See Volatility risk.

Multiple-Choice Questions on A. See Volatility risk.
Multiple-Choice Questions on C. [23]■■The Greeks of European options (calls and puts) under t
Multiple-Choice Questions on D. The most commonly quoted are 25 delta put, 50 delta put/50 de
130. [3]■■The Greeks are vital tools in risk management.

Multiple-Choice Questions on A. Sometimes deep-in-the-money options will gain more from incre
Multiple-Choice Questions on B. [3]■■The Greeks are vital tools in risk management.
Multiple-Choice Questions on C. To derive the delta of a call from a put, one can similarly take −0
Multiple-Choice Questions on D. If the underlying value has continuous second partial derivatives
131. Theory■■Online tools

Multiple-Choice Questions on A. For deep-in-the-money options of some types (for puts in Black-
Multiple-Choice Questions on B. Unlike the lambda, which is an elasticity (a percentage change i
Multiple-Choice Questions on C. The mathematical result of the formula for color (see below) is e
Multiple-Choice Questions on D. Theory■■Online tools
132. If the value of delta for an option is known, one can calculate the value of the delta of the option of the
Multiple-Choice Questions on A. If the value of delta for an option is known, one can calculate the
Multiple-Choice Questions on B. Vanna can be a useful sensitivity to monitor when maintaining a
Multiple-Choice Questions on C. When an option nears expiration, color itself may change quickly
Multiple-Choice Questions on D. Vomma,[4] volga,[15] vega convexity,[15] or DvegaDvol[15] mea
133. The remaining sensitivities in this list are common enough that they have common names, but this list
Multiple-Choice Questions on B. [13] Speed is the third derivative of the value function with respe
Multiple-Choice Questions on C. The remaining sensitivities in this list are common enough that t
Multiple-Choice Questions on D. [13] Charm can be an important Greek to measure/monitor whe
134. The change in option value is typically negative because the passage of time is a negative number (a
Multiple-Choice Questions on B. Color,[13] gamma decay[19] or DgammaDtime[13] measures th
Multiple-Choice Questions on C. The change in option value is typically negative because the pas
135. This benchmark is generally the overall financial market and is often estimated via the use of represen
Multiple-Choice Questions on B. This benchmark is generally the overall financial market and is o
Multiple-Choice Questions on C. Sometimes deep-in-the-money options will gain more from incre
Multiple-Choice Questions on D. Obviously, this sensitivity can only be applied to derivative instru
136. It is similar to the concept of delta but expressed in percentage terms rather than absolute terms.
Multiple-Choice Questions on A. A positive beta means that the asset's returns generally follow th
Multiple-Choice Questions on C. It is similar to the concept of delta but expressed in percentage t
Multiple-Choice Questions on D. It holds that ■■■■λ■=■Ω■=■∆■×■■■S■V■■■■■{\displays
137. {\displaystyle {\text{Vanna}}={\frac {\partial \Delta }{\partial \sigma }}={\frac {\partial {\mathcal {V}}}{\par
Multiple-Choice Questions on A. {\displaystyle {\text{Vanna}}={\frac {\partial \Delta }{\partial \sigm
Multiple-Choice Questions on B. This partial derivative has a fundamental role in the Breeden–Lit
138. An asset has a Beta of zero if its returns change independently of changes in the market's returns.
Multiple-Choice Questions on A. For example, if the delta of a call is 0.42 then one can compute
Multiple-Choice Questions on B. The beta (β) of a stock or portfolio is a number describing the vo
Multiple-Choice Questions on D. An asset has a Beta of zero if its returns change independently
139. Several names such as "vega" (whose symbol is similar to the lower-case Greek letter nu; the use of
Multiple-Choice Questions on B. Most long options have positive gamma and most short options
Multiple-Choice Questions on C. To derive the delta of a call from a put, one can similarly take −0
Multiple-Choice Questions on D. The Greeks in the Black–Scholes model (a relatively simple idea
140. Lambda,[4] ■■■■λ■■■{\displaystyle \lambda }■■, omega,[8] ■■■■Ω■■■{\displaystyle \Omega }■

Multiple-Choice Questions on B. Lambda,[4] ■■■■λ■■■{\displaystyle \lambda }■■, omega,[8]
Multiple-Choice Questions on C. The closest analogue to the delta is DV01, which is the reductio
Multiple-Choice Questions on D. When an option nears expiration, color itself may change quickly
141. [21][22]■■Cross gamma measures the rate of change of delta in one underlying to a change in the le
Multiple-Choice Questions on B. The (absolute value of) Delta is close to, but not identical with, th
Multiple-Choice Questions on C. [21][22]■■Cross gamma measures the rate of change of delta i
Multiple-Choice Questions on D. Color can be an important sensitivity to monitor when maintainin
142. While extrinsic value is decreasing with time passing, sometimes a countervailing factor is discounting
Multiple-Choice Questions on A. For a vanilla option, delta will be a number between 0.0 and 1.0
Multiple-Choice Questions on C. While extrinsic value is decreasing with time passing, sometime
Multiple-Choice Questions on D. For example, if an out-of-the-money call option has a delta of 0.
143. By convention in options valuation formulas, ■■■■τ■■■■{\displaystyle \tau \,}■■, time to expiry, is
Multiple-Choice Questions on A. By convention in options valuation formulas, ■■■■τ■■■■{\dis
Multiple-Choice Questions on B. A negative beta means that the asset's returns generally move o
Multiple-Choice Questions on C. Delta is the first derivative of the value ■■■■V■■■{\displaysty
Multiple-Choice Questions on D. 0.01% per annum) in the yield, where yield is the underlying var
144. This is convenient because the option will (instantaneously) behave like the number of shares indicate
Multiple-Choice Questions on A. (Albeit for only small movements of the underlying, a short amou
Multiple-Choice Questions on B. The dividend yield impact is in practice determined using a 10%
Multiple-Choice Questions on C. (Related is CS01, measuring sensitivity to credit spread.)
Multiple-Choice Questions on D. This is convenient because the option will (instantaneously) beh
145. It is common practice to divide the mathematical result of veta by 100 times the number of days per y
Multiple-Choice Questions on A. Color,[13] gamma decay[19] or DgammaDtime[13] measures th
Multiple-Choice Questions on B. (Whether to count calendar days or business days varies by per
Multiple-Choice Questions on C. Vega[4] measures sensitivity to volatility.
146. Vega is not the name of any Greek letter.

Multiple-Choice Questions on A. Vega is not the name of any Greek letter.
Multiple-Choice Questions on C. Zomma has also been referred to as DgammaDvol.
Multiple-Choice Questions on D. In practice they will use more sophisticated models which go be
147. Zomma[4] measures the rate of change of gamma with respect to changes in volatility.
Multiple-Choice Questions on A. Since the delta of underlying asset is always 1.0, the trader coul
Multiple-Choice Questions on C. Zomma[4] measures the rate of change of gamma with respect
Multiple-Choice Questions on D. The total delta of a complex portfolio of positions on the same u
148. For call options, it can be approximated using infinitesimal portfolios of butterfly strategies.
Multiple-Choice Questions on A. Zomma can be a useful sensitivity to monitor when maintaining
Multiple-Choice Questions on B. For call options, it can be approximated using infinitesimal portfo
Multiple-Choice Questions on C. It is common practice to divide the mathematical result of veta b
Multiple-Choice Questions on D. For a given:■■where■■Under the Black model (commonly use
149. In practice they will use more sophisticated models which go beyond the simplifying assumptions use
Multiple-Choice Questions on A. Bond convexity is one of the most basic and widely used forms o
Multiple-Choice Questions on B. In practice they will use more sophisticated models which go be
Multiple-Choice Questions on C. Epsilon,[9] ■■■■ε■■■{\displaystyle \varepsilon }■■ (also kno
Multiple-Choice Questions on D. To derive the delta of a call from a put, one can similarly take −0
150. Delta is always positive for long calls and negative for long puts (unless they are zero).
Multiple-Choice Questions on B. The Greeks in the Black–Scholes model (a relatively simple idea
Multiple-Choice Questions on C. Speed[4] measures the rate of change in Gamma with respect t
Multiple-Choice Questions on D. Delta is always positive for long calls and negative for long puts
151. Ultima has also been referred to as DvommaDvol.
Multiple-Choice Questions on A. Ultima has also been referred to as DvommaDvol.
Multiple-Choice Questions on C. Theory■■Online tools
152. (Related is CS01, measuring sensitivity to credit spread.)

Multiple-Choice Questions on A. [3]■■The Greeks are vital tools in risk management.
Multiple-Choice Questions on B. (Related is CS01, measuring sensitivity to credit spread.)
Multiple-Choice Questions on C. It is often useful to divide this by the number of days per year to
Multiple-Choice Questions on D. The actual probability of an option finishing in the money is its d
153. By put–call parity, long a call and short a put is equivalent to a forward F, which is linear in the spot S,
Multiple-Choice Questions on B. [10] Information geometry offers another (trigonometric) interpre
Multiple-Choice Questions on C. By put–call parity, long a call and short a put is equivalent to a fo
Multiple-Choice Questions on D. Veta is the second derivative of the value function; once to volat
154. The value of an at-the-money option straddle, for example, is extremely dependent on changes to vol
Multiple-Choice Questions on A. The dividend yield impact is in practice determined using a 10%
Multiple-Choice Questions on B. This is due to put–call parity: a long call plus a short put (a call m
Multiple-Choice Questions on D. In practice they will use more sophisticated models which go be
155. A positive beta means that the asset's returns generally follow the market's returns, in the sense that
Multiple-Choice Questions on A. These numbers are commonly presented as a percentage of the
Multiple-Choice Questions on B. The value of an at-the-money option straddle, for example, is ex
Multiple-Choice Questions on D. it is equivalent to DV01 divided by the market price).
156. This partial derivative has a fundamental role in the Breeden–Litzenberger formula,[18] which uses qu
Multiple-Choice Questions on B. If the value of delta for an option is known, one can calculate the
Multiple-Choice Questions on C. [5] For this reason some option traders use the absolute value o
Multiple-Choice Questions on D. This partial derivative has a fundamental role in the Breeden–Lit
157. Similarly, if a put contract has a delta of −0.25, the trader might expect the option to have a 25% prob
Multiple-Choice Questions on B. (Related is CS01, measuring sensitivity to credit spread.)
Multiple-Choice Questions on C. [10]■■■■Gamma,[4] ■■■■Γ■■■{\displaystyle \Gamma }■■,
Multiple-Choice Questions on D. The players in the market make competitive trades involving ma
158. The (absolute value of) Delta is close to, but not identical with, the percent moneyness of an option, i.
Multiple-Choice Questions on A. Collectively these have also been called the risk sensitivities,[1]
Multiple-Choice Questions on B. 50 Delta put and 50 Delta call are not quite identical, due to spo
Multiple-Choice Questions on D. The (absolute value of) Delta is close to, but not identical with, th
159. It is mathematically equivalent to DdeltaDvol, the sensitivity of the option delta with respect to change
Multiple-Choice Questions on A. It is mathematically equivalent to DdeltaDvol, the sensitivity of th
Multiple-Choice Questions on C. Lambda,[4] ■■■■λ■■■{\displaystyle \lambda }■■, omega,[8]
Multiple-Choice Questions on D. The total delta of a complex portfolio of positions on the same u
160. Rho,[4] ■■■■ρ■■■{\displaystyle \rho }■■, measures sensitivity to the interest rate: it is the derivativ
Multiple-Choice Questions on A. Rho,[4] ■■■■ρ■■■{\displaystyle \rho }■■, measures sensitivit
Multiple-Choice Questions on C. (Albeit for only small movements of the underlying, a short amou
Multiple-Choice Questions on D. When an option nears expiration, charm itself may change quick
161. Bond convexity is one of the most basic and widely used forms of convexity in finance.
Multiple-Choice Questions on A. Bond convexity is one of the most basic and widely used forms o
Multiple-Choice Questions on B. (Specifically, vomma is positive where the usual d1 and d2 term
162. When an option nears expiration, charm itself may change quickly, rendering full day estimates of del
Multiple-Choice Questions on B. time of an option's value is a positive number.
Multiple-Choice Questions on C. When an option nears expiration, charm itself may change quick
163. The total delta of a complex portfolio of positions on the same underlying asset can be calculated by s
Multiple-Choice Questions on A. The total delta of a complex portfolio of positions on the same un
Multiple-Choice Questions on C. When a trader seeks to establish an effective delta-hedge for a
164. Delta,[4] ■■■■∆■■■{\displaystyle \Delta }■■, measures the rate of change of the theoretical option
Multiple-Choice Questions on A. Delta,[4] ■■■■∆■■■{\displaystyle \Delta }■■, measures the ra
Multiple-Choice Questions on B. It is also then the derivative of theta with respect to the underlyin
Multiple-Choice Questions on C. An asset has a Beta of zero if its returns change independently
Multiple-Choice Questions on D. For a bond with an embedded option, the standard yield to matu
165. Vanna can be a useful sensitivity to monitor when maintaining a delta- or vega-hedged portfolio as va
Multiple-Choice Questions on B. Vanna can be a useful sensitivity to monitor when maintaining a
Multiple-Choice Questions on C. When an option nears expiration, color itself may change quickly
Multiple-Choice Questions on D. Sometimes deep-in-the-money options will gain more from incre
166. Vera is the second derivative of the value function; once to volatility and once to interest rate.
Multiple-Choice Questions on A. At-the-money calls and puts have a delta of approximately 0.5 a
Multiple-Choice Questions on B. Vera is the second derivative of the value function; once to volat
Multiple-Choice Questions on C. The remaining sensitivities in this list are common enough that t
167. Collectively these have also been called the risk sensitivities,[1] risk measures[2]:■742■ or hedge pa
Multiple-Choice Questions on A. It is mathematically equivalent to DdeltaDvol, the sensitivity of th
Multiple-Choice Questions on B. The closest analogue to the delta is DV01, which is the reductio
Multiple-Choice Questions on C. Obviously, this sensitivity can only be applied to derivative instru
Multiple-Choice Questions on D. Collectively these have also been called the risk sensitivities,[1]
168. Each Greek measures the sensitivity of the value of a portfolio to a small change in a given underlying
Multiple-Choice Questions on A. With positive vomma, a position will become long vega as implie
Multiple-Choice Questions on B. Correlation delta measures the sensitivity of the derivative's valu
Multiple-Choice Questions on C. The beta (β) of a stock or portfolio is a number describing the vo
Multiple-Choice Questions on D. Each Greek measures the sensitivity of the value of a portfolio to
169. These values are typically calculated using a tree-based model, built for the entire yield curve (as opp
Multiple-Choice Questions on A. Zomma[4] measures the rate of change of gamma with respect
Multiple-Choice Questions on B. time of an option's value is a positive number.
Multiple-Choice Questions on C. Vega can be an important Greek to monitor for an option trader,

FINANCE75012 11 The Mathematical Result

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1.

5. See also Key rate duration.

10. The inverse is true for short options.

17. Speed can be important to monitor when delta-hedging or gamma-hedging a portfolio.

38. See the formulas below.

40. it is equivalent to DV01 divided by the market price).

46. Vega[4] measures sensitivity to volatility.

47. [20] It is also commonly known as cega.

54. Charm has also been called DdeltaDtime.

60. In fact, typically, the literal first derivative w.r.t.

82. Therefore, reported theta is usually divided by number of days in a year.

83. [10] Information geometry offers another (trigonometric) interpretation.

87. Epsilon,[9] ■■■■ε■■■{\displaystyle \varepsilon }■■ (also known as psi, ■■■■ψ■■■{\displaystyle \p

88. It holds that ■■■■λ■=■Ω■=■∆■×■■■S■V■■■■■{\displaystyle \lambda =\Omega =\Delta \times {

114. Zomma has also been referred to as DgammaDvol.

129. See Volatility risk.

130. [3]■■The Greeks are vital tools in risk management.

131. Theory■■Online tools

140. Lambda,[4] ■■■■λ■■■{\displaystyle \lambda }■■, omega,[8] ■■■■Ω■■■{\displaystyle \Omega }■

146. Vega is not the name of any Greek letter.

152. (Related is CS01, measuring sensitivity to credit spread.)

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