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  3. the underlying stock has a delta of 1 and a gamma

The underlying stock has a Delta of 1 and a Gamma of 0. What position...

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The underlying stock has a Delta of 1 and a Gamma of 0. What position in Option A and the underlying stock will make the portfolio both Delta neutral and Gamma neutral? Type Position Delta Gamma Put 180 -0.4 0.1 Call 70 0.6 0.3 Question Option A has a Delta of 0.5 and a Gamma of 0.25. What position in Option A will make the portfolio Delta neutral? Type Put Call Position 180 70 Delta -0.4 0.6 samma Gamma 0.1 0.3 Expert answer A Anonymous Delta of the Portfolio 180 x 1-0.4) + 7 (0.6) 30 To make thi portfolio delta neutral, have to long position m os option A Long 6o position in option A

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