All of the following are conditions that make the second-order gamma effect more important to a manager delta-hedging an option EXCEPT when the: A. option is at-the-money. B. delta is near zero. C. option is near expiration.
All of these conditions make the gamma effect more important except the delta being near zero. If the delta is near zero or one then the option delta will move more slowly towards zero or one and cause less of an affect on gamma.
