A Portfolio of Derivatives on a Stock Has a Delta

question 1

Short Answer

A portfolio of derivatives on a stock has a delta of 2400 and a gamma of -100. An option on the stock with a delta of 0.6 and a gamma of 0.04 can be traded.
i) What position in the option creates a portfolio that is gamma neutral? Give the size of position, and state whether it is long or short. _ _ _ _ _ _
ii) After this position has been taken, what position in the stock is then necessary for delta neutrality? Give the size of position, and state whether it is long or short. _ _ _ _ _ _

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Definitions:

Statute Of Limitations

A law that sets the maximum period one can wait before filing a lawsuit, depending on the type of case or claim.

First-degree Murder

A classification of murder where the act is premeditated, planned, or committed under special circumstances, considered to be the most serious form of murder.

Statute Of Limitations

The laws that set the maximum time after an event within which legal proceedings may be initiated.

First-degree Murder

A criminal charge for a premeditated killing or a murder committed under special circumstances, considered the most serious form of homicide.