Option Risk question

CFA Level II
#1

Which of the following spreads will reflect the option risk in a callable bond? A) The nominal spread only. B) Both the nominal spread and the Z-spread. C) The Z-spread only. D) The OAS only.

#2

b

#3

c

#4

b

#5

B. The OAS spread is the only one that will not show the option risk.

#6

Yep you’re right it’s B.