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According to the BSM model for calculating European options on non-dividend paying stock, which option sensitivity (Greek) would be identical for both a call and a put option, given that the implied volatility, strike price, and risk free interest rate, time to maturity were the same?
　　I        Gamma
　　II       Theta
　　III      Vega
　　IV     Rho
　　A.        II only
　　B.        I and III
　　C.        All the above
　　D.        III and IV
　　Answer: B
　　Gamma and Vega are identical for calls and puts with the same strike price and time to expiration.