求解释

问题如下：

A delta-neutral position has a gamma of 4,800. A 0.8 delta option has a gamma of 1.8. In order to generate a gamma-neutral position, we sell 2,667 of the options.

Which of the following will restore a delta-neutral position?

选项：

A.

Long 2667 shares of the underlying asset.

B.

Short 2667 shares of the underlying asset.

C.

Long 2134 shares of the underlying asset.

D.

Short 2134 shares of the underlying asset.

解释：

C is correct.

考点： delta-neutral

解析： 为了使得gamma-neutral, 将头寸中4,800 的gamma降到0，卖出2,667份期权。 此时gamma=0，但是delta变成了-0.8*2667= -2133.6

为了再次实现 delta-neutral , 需要买入股票2133.6份，四舍五入为2134份。