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Neutralising delta and gamma · Part 2 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.
Shares have no gamma, so to remove the gamma you trade the second option. How many must you buy?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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