AppliedMultiple choice
You sell a one-month at-the-money call and buy a three-month call at the same strike. What is your main exposure?
- ALong gamma and short vega, profiting from a big move before the front month expires
- BShort gamma and long vega
- CPure delta: a bullish bet that the stock rises over three months
- DNo exposure, since both options have the same strike and cancel each other out
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