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Neutralising delta and gamma · Part 3 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.
Starting again from no shares, and having bought those options, how many shares must you now buy to be delta-neutral as well?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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