NO.PZ2016082404000031
问题如下：
Suppose an existing short option position is delta-neutral, but has a gamma of -600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to maintain the position gamma-neutral and delta- neutral, which of the following is the appropriate strategy to implement?
选项： Buy 400 options and sell 300 shares of the
underlying asset.
Buy 300 options and sell 400 shares of the underlying asset.
C.Sell 400 options and buy 300 shares of the underlying asset.
D.Sell 300 options and buy 400 shares of the underlying asset.
解释：
ANSWER: A
Because gamma is negative, we need to buy a call to increase the portfolio gamma back to zero. The number is 600/1.5 = 400 calls. This, however, will increase the delta from zero to 400 × 0.75 = 300. Hence, we must sell 300 shares to bring the delta back to zero. Note that positions in shares have zero gamma.
这是默认stock的Δ=1，gamma=0了吗？
