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What is the gamma of the portfolio

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A portfolio is short 500 call options on stock A with delta = .3 and gamma = 1 and short 1000 call options on the stock A with delta = .7 and gamma = 2. A third traded option has delta = .2 and gamma = 5.

-What is the delta of the portfolio?

-What is the gamma of the portfolio?

-What position in the third option will make the portfolio gamma neutral?

-What position in stock A will then make the portfolio delta and gamma neutral?

Reference no: EM132752349

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