Regarding option “Greeks”, which of the following statements is (are) correct?
I.Vega is highest when options are at-the-money.
II.Rho is higher for at-the-money versus in-the-money options.
III.Forward instruments cannot be used to create gamma-neutral positions.
IV.Theta represents the expected change in delta for a change in the value of the underlying instrument.
A.  I and III only
B.  I and II only
C.  IV only
D.  I, II, and IV
Answer:A
Gamma (not theta) represents the expected change in delta for a change in the value of the underlying. In-the-money options are more sensitive to changes in rates (rho is higher) than out-of-the-money options.