Which of the following is FALSE?
　　I.The delta of forwards and futures is 1.
　　II.Gamma is largest when options are at-the-money.
　　III.Two problems using stop-loss trading on naked options are transaction costs and stock price uncertainty.
　　IV.For a delta-neutral portfolio, although opposite in sign, theta can serve as a proxy for gamma.
　　A. I only.
　　B. II only.
　　C. I and III only.
　　D. II and IV only.
　　Answer:A
　　The delta of forwards is one. The delta of futures is not usually one. Two problems using stop-loss trading on naked options are transaction costs and stock-price certainty. Gamma is largest when options are at-the-money. For a delta-neutral portfolio, although opposite in sign, theta can serve as a proxy for gamma.