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Which of the following statements is CORRECT? A.Gamma of call or put option is always negative B.Vega of stock is equal to one C.Options needed

Which of the following statements is CORRECT?

A.Gamma of call or put option is always negative

B.Vega of stock is equal to one

C.Options needed to maintain gamma and vega neutrality may have low liquidity

D.It is never possible to construct a portfolio that is neutral to three different Greeks (for example, delta, gamma and vega)

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