Which of the following "Greeks" measures the amount that an option contract's price changes in reaction to a change in the implied volatility of the underlying asset? A. Rho B. Vega C. Gamma

The correct answer is B. Derivatives risk measures are also referred to as "Greeks." Vega measures the sensitivity of derivatives value to the volatility of prices of underlying assets.

A CFA Level 1 Discussion About CFA Level 1 Question Of The Week

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  02 Mar 2020 at 8:02 am
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  The correct answer is B.
  
  Derivatives risk measures are also referred to as “Greeks.” Vega measures the sensitivity of derivatives value to the volatility of prices of underlying assets.
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