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PRMIA Exam 8006 Topic 8 Question 9 Discussion

Actual exam question for PRMIA's Exam I: Finance Theory, Financial Instruments, Financial Markets ? 2015 Edition exam
Question #: 9
Topic #: 8
[All Exam I: Finance Theory, Financial Instruments, Financial Markets ? 2015 Edition Questions]

The gamma in a commodity futures contract is:

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Suggested Answer: A

Futures contracts carry no gamma. Only options have gamma. Choice 'a' is the correct answer. Any instrument whose price varies in a linear fashion with respect to the underlying will have gamma equal to zero.


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