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Adverse changes to the value of a portfolio that is delta neutral but highly gamma positive: a. are caused by large increases in the value
Adverse changes to the value of a portfolio that is delta neutral but highly gamma positive:
a. are caused by large increases in the value of the underlying.
b. are caused by large decreases in the value of the underlying.
c. can be hedged by taking a long position in the underlying.
d. can be hedged by taking a short position in the underlying.
e. cannot be hedged by taking any position in the underlying.
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