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Neutralising delta and gamma · Part 1 of 3
You are short 1,000 calls, each on one share, with delta 0.55 and gamma 0.04 per call. A second option on the same stock trades with delta 0.30 and gamma 0.05.
Using shares alone, how many shares must you buy to be delta-neutral?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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