NO.PZ2018113001000025
问题如下：
A gamma measures the sensitivity of delta to a change in the underlying, delta would have the largest moves when:
选项：
A.the underlying price = exercise price
B.the underlying price > exercise price
C.the underlying price < exercise price
解释：
A is correct.
考点：gamma
解析：
题目问的是delta变化最大的时候，delta的变化用gamma来衡量，所以题目问的是gamma最大的点。
Gamma在at the money最大，即基础资产的价格等于执行价格时最大。
原题干A gamma measures the sensitivity of delta to a change in the underlying, delta would have the largest moves when。。。应该是gamma would have the largest moves when。。。
