6. Gamma tends to be high for which of the following? A. At the money options B. Out-of-the money options C. In-the-money options D. Options with a long time to maturity 7. Which of the following creates a bull spread? A. Buy a low strike price put and sell a high strike price call B. Buy a high strike price call and sell a low strike price call C. Buy a low strike price call and sell a high strike price put D. Buy a low strike price call and sell a high strike price call 8. Which of the following could NOT be a delta-neutral portfolio? A. Along position in call options plus a short position in the underlying stock B A short position in call options plus a short position in the underlying stock C. A long position in put options and a long position in the underlying stock D. Along position in a put option and a long position in a call option 9. Rho measures A. the rate of change of delta of a derivative with the asset price B. the rate of change of a derivative value with the passage of time C. the sensitivity of a derivative value to interest rate changes D. None of the above. 10. The table below shows three European call options on the same non-dividend paying stock: Option ! Option 2 Option 3 Time to Expiration 3 months 6 months 6 months Exercise Price $100 $100 SIOS The option with the highest value is most likely: A Option 1 B. Option 2 C. Option 3 D. All options have same value End of Section A