# Gamma and Delta

This was #4 of the 2014 CFAI Mock exam (“Winters”):

"Malarkey states that for any equity call option, delta will be approximately 1.0 and gamma will tend to be large whenever the option is in the money as it nears maturity."

The question asks whether the statements about delta and gamma are correct.

The correct answer is C, " No, he is incorrect about the gamma measure" [but he is correct about delta].

How is the correct not B: " No, he is incorrect about the delta measure"? My understanding is that delta can be between 0.0 and 1.0 and that gamma is largest when the option is at the money and close to expiration.

Many thanks for any insight.

Call delta is between 0 and 1 and moves to 1 as the option is near maturity. Gamma is larges when the option is at the money, not in the money.

The question is phrased poorly and confused me too. The question is trying to ask: when the option is in the money and close to expiry then a) call delta is close to 1 or b) gamma is large. Phrased this way answer is clearly b. Is incorrect. Way it is actually phrased leads to confusion.