question archive Consider a portfolio that is delta neutral, with gamma of -5,000 and a vega of -8,000
Consider a portfolio that is delta neutral, with gamma of -5,000 and a vega of -8,000
Subject:AccountingPrice: Bought3
Consider a portfolio that is delta neutral, with gamma of -5,000 and a vega of -8,000. A traded option has a gamma of 0.5 and a vega of 2, and delta of 0.6. Second traded option with gamma of 0.8, vega of 1.2 and delta of 0.5. How could the portfolio be made delta, gamma, and vega neutral?
