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If the current market price of a stock is USD 60, which of the following options on the stock has the highest gamma? A. Call
If the current market price of a stock is USD 60, which of the following options on the stock has the highest gamma?
A. Call option expiring in 5 days with strike price of USD 30
B. Call option expiring in 5 days with strike price of USD 60
C. Call option expiring in 30 days with strike price of USD 60
D. Put option expiring in 30 days with strike price of USD 30
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