The delta and gamma of the portfolio held by the option dealer are -2 600 and -533.4, respectively. The gamma of both calls and puts with a strike price of $20 and with three months to maturity is 0.127. The current market price of the underlying non-dividend paying share is $20.40. The annualized implied volatility of the share is 30% (calculated on the basis of continuously compounded returns) and three-month risk-free interest rate is 2% p.a. What would be the most cost-efficient way to make the portfolio delta-gamma-neutral based on transactions on either of the options and the underlying shares? The delta and gamma of the portfolio held by the option dealer are -2 600 and -533.4, respectively. The gamma of both calls and puts with a strike price of $20 and with three months to maturity is 0.127. The current market price of the underlying non-dividend paying share is $20.40. The annualized implied volatility of the share is 30% (calculated on the basis of continuously compounded returns) and three-month risk-free interest rate is 2% p.a. What would be the most cost-efficient way to make the portfolio delta-gamma-neutral based on transactions on either of the options and the underlying shares