Problem 214 of 333MediumFinanceP214

Make a book delta- and gamma-neutral

Your options book on one stock has delta $-200$ and gamma $-600$ (per 1 point move in the stock). You can trade the stock and a listed option on it with delta $0.6$ and gamma $0.04$ . What trades make the book both delta-neutral and gamma-neutral?
See the hint and solution with a free account
Every problem on Quant Engine is free, with a hint and a full worked solution. Making an account takes 30 seconds and no card. Then you can see them and track what you have solved.
Create a free account Log in

See the hint and solution with a free account