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A portfolio of derivatives on a stock has a delta of 2400 and a gamma of -10. An option on the stock with a delta
A portfolio of derivatives on a stock has a delta of 2400 and a gamma of -10. An option on the stock with a delta of 0.5 and a gamma of 0.04 can be traded. What position in the option is necessary to make the portfolio gamma neutral? Select one: a. Long position in 250 options b. Short position in 250 options c. Long position in 20 options d. Short position in 20 options Clear my choice
A portfolio of derivatives on a stock has a delta of 2400 and a gamma of -10. An option on the stock with a delta of 0.5 and a gamma of 0.04 can be traded. What position in the option is necessary to make the portfolio gamma neutral?
Select one:
a.
Long position in 250 options
b.
Short position in 250 options
c.
Long position in 20 options
d.
Short position in 20 options
Clear my choice
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