B IS INCORRECT Suppose a portfolio is delta-neutral and has a gamma of -3200. A...
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B IS INCORRECT
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 5000 shares | |
| b. | Buy 2000 shares | |
| c. | Sell 5000 shares | |
| d. | Sell 2000 shares |
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