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Which of the following is appropriate strategy to implement

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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?

A. Buy 400 options and sell 300 shares of the underlying asset.
B. 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.

 

Reference no: EM13505682

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