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Suppose a portfolio is delta-neutral and has a gamma of -3200. A call option trades with a delta of 0.5 and a gamma of 0.8.

Suppose a portfolio is delta-neutral and has a gamma of -3200. A call option trades with a delta of 0.5 and a gamma of 0.8. You buy this option to gamma-hedge.

How many shares of stock do you need to buy (sell) to delta-hedge your portfolio after you added the option?

a.

Buy 2000 shares
b.

Sell 5000 shares
c.

Buy 5000 shares
d.

Sell 2000 shares

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