What is the gamma of the corresponding put option?

The gamma of a call option is 0.08.

What is the gamma of the corresponding put option?
A . -0.08
B . 0.92
C . 0.08
D . -0.92

View Answer

Answer: C

Explanation:

From the put-call parity, we know that Call – Put = Stock – Bank deposit. Since the bank deposit has a zero Gamma, and the Gamma of the Stock itself is also 0, we get the relationship Gamma of Call – Gamma of Put = 0. Therefore, if the Gamma of a call option is 0.08, the Gamma of the corresponding put option is also 0.08.