You construct a delta-neutral portfolio with a high gamma. Theoretically, what does this imply? Choose from the table below. Assume Yes indicates at least a minor change in the portfolio value.

	Small stock price movements affect portfolio value?	Large stock price movements affect portfolio value?	Portfolio rebalancing required as stock price changes?
A)	Yes	Yes	Often
B)	Yes	No	Often
C)	Yes	Yes	Barely ever
D)	No	No	Barely ever
E)	No	Yes	Often
F)	No	Yes	Barely ever

Group of answer choices

B)

F)

E)

C)

A)

D)