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Which of the following statements is Not True regarding the option Greeks and mispriced options? A. delta for a call > 0, but 0
Which of the following statements is Not True regarding the option Greeks and mispriced options?
A. delta for a call > 0, but 0 <= call delta <= 1
B. The delta for a put <0, but -1 <= put delta <= 0
C. The delta, gamma, and vega for owning a share of common stock are 1,0, and 0 respectively
D. A linear product has zero gamma and cannot be used to change the gamma of a portfolio
E. When you find an "overpriced" option, it indicates that the implied volatility of this specific option is too low.
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