You are a trader in S&P 500 Index options for an investment bank. Your position has the following net greeks (after multiplying the position size times the gamma per exercise price and the price multiplier): delta = 0, gamma = +$700. The S&P 500 Index is currently at $2665.

(1) if the S&P 500 Index moves to $2666, what is the new net delta of the position? (show work)

it is still zero

-$700

+$700

-$1400

+$1400

none of the above

Given your answer in 14(1) above, what offsetting transaction would you do to hedge the delta dynamically?

buy 700 shares of the S&P 500 Index

sell 1400 shares of the S&P 500 Index

sell 700 shares of the S&P 500 Index

nothing, because the position is already delta-neutral

buy 1400 shares of the S&P 500 Index

If you no longer wanted to be long +$700 gamma, what would you try to do to hedge the gamma dynamically?

You are a trader in S&P 500 Index options for an investment bank. Your position has the following net greeks (after multiplying the position size times the gamma per exercise price and the price multiplier): delta = 0, gamma = +$700. The S&P 500 Index is currently at $2665.

(1) if the S&P 500 Index moves to $2666, what is the new net delta of the position? (show work)

it is still zero

-$700

+$700

-$1400

+$1400

none of the above

Given your answer in 14(1) above, what offsetting transaction would you do to hedge the delta dynamically?

buy 700 shares of the S&P 500 Index

sell 1400 shares of the S&P 500 Index

sell 700 shares of the S&P 500 Index

nothing, because the position is already delta-neutral

buy 1400 shares of the S&P 500 Index

If you no longer wanted to be long +$700 gamma, what would you try to do to hedge the gamma dynamically?