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An options dealer has a short position of 6,000 in Microsoft call options. The call options have a delta of 0.50, a gamma of 0.04
An options dealer has a short position of 6,000 in Microsoft call options. The call options have a delta of 0.50, a gamma of 0.04 and vega of 6. Assume that a Microsoft put option with a delta of -0.40 and a gamma of 0.08 is available. The dealer can make his initial portfolio both delta-neutral and gamma-neutral by buying Microsoft stocks and buying Microsoft puts.
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