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A delta-neutral portfolio has a gamma of -1,500. The delta and gamma of a call option are 0.4 and 1.5 respectively. a) How many call

A delta-neutral portfolio has a gamma of -1,500. The delta and gamma of a call option are 0.4 and 1.5 respectively. a) How many call options is needed to make it gamma-neutral? b) Making the portfolio gamma-neutral causes the portfolio to no longer be delta-neutral. How many shares of the underlying must be sold to keep it delta-neutral?

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