NO.PZ201712110100000306
问题如下：
Based on the data in Exhibit 2, Singh would advise Tills that the call option with the largest gamma would have a strike price closest to:
选项：
A.$ 55.00.
$ 67.50.
$ 80.00.
解释：
B is correct.
The $67.50 call option is approximately at the money because the Walnut share price is currently $67.79. Gamma measures the sensitivity of an option’s delta to a change in the underlying. The largest gamma occurs when options are trading at the money or near expiration, when the deltas of such options move quickly toward 1.0 or 0.0. Under these conditions, the gammas tend to be largest and delta hedges are hardest to maintain.
可以从delta的变动角度来看么？70块到80块delta变化最大，所以应该是70-80之间出现最大的gamma，但是这样出来的结果并不接近于现货价格
