问题如下图：
选项：
A. 
B. 
C. 
解释：
gymma在at the money的时候最大，这时候delta应该是接近1或者0，那price是55的时候，call delta等于1，为什么不选A
NO.PZ2017121101000029 $ 67.50. $ 80.00. B is correct. The $67.50 call option is approximately the money because the Walnut share priis currently $67.79. Gamma measures the sensitivity of option’s lta to a change in the unrlying. The largest gamma occurs when options are trang the money or neexpiration, when the ltof suoptions move quickly towar1.0 or 0.0. Unr these contions, the gammtento largest anlta hees are harst to maintain. 0.63和0.37接近0.5的程度不都是0.13吗？为什么选0.63
NO.PZ2017121101000029 想要请教 1、从哪里看出来市场目前价格是67.5? 2、这样理解是否可以， r最大时候，call或者put option绝对值都是0.5，问的是call，那么选择67.5前后？
老師 我們知道gamma最大就是當share prineexercise prior ATM的時候 我覺得這麼的圖一 也直接給出call lta 在股價是55元的時候最大為1 請問這題怎麼解釋 為何不用圖一來作答 謝謝
$ 67.50. $ 80.00. B is correct. The $67.50 call option is approximately the money because the Walnut share priis currently $67.79. Gamma measures the sensitivity of option’s lta to a change in the unrlying. The largest gamma occurs when options are trang the money or neexpiration, when the ltof suoptions move quickly towar1.0 or 0.0. Unr these contions, the gammtento largest anlta hees are harst to maintain. 这题根据lta最接近0.5也能出结果吧？
