A Portfolio of Derivatives on a Stock Has a Delta

question 11

Multiple Choice

A portfolio of derivatives on a stock has a delta of 2400 and a gamma of -10.An option on the stock with a delta of 0.5 and a gamma of 0.04 can be traded.What position in the option is necessary to make the portfolio gamma neutral?

• A) Long position in 250 options
• B) Short position in 250 options
• C) Long position in 20 options
• D) Short position in 20 options

---

Definitions:

Wearing Gloves

The practice of covering the hands with gloves as protection against various hazards or for hygiene.

OSHA Violation

A failure to comply with standards and regulations set by the Occupational Safety and Health Administration, potentially endangering workers.

Discretionary Fine

A penalty imposed by a person in authority, who has the discretion to determine both the necessity and the amount of the fine.

Substantial Probability

means a significant likelihood of an event occurring, used in various contexts to assess risks or outcomes.