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A trader holds a portfolio with a delta of 0 and a gamma of 5000. Which of the following is true? You are a crude

A trader holds a portfolio with a delta of 0 and a gamma of 5000. Which of the following is true?

You are a crude oil producer. You sell a calendar swap on 10,000 barrels with a $30 fixed price per barrel. In February, the price of crude oil settles at $35 per barrel. Your net payment will be:

	a.	Pay $30,000 to the counterparty
	b.	Receive $350,000 to the counterparty
	c.	Receive 50,000 from the counterparty
	d.	Pay $50,000 to the counterparty

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