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Can you help me with the following question???Here are the datas of the portfolio:I have 0 stocksI'm long on 250 call with a delta of 0,5 and gamma of 0,03I'm long on 100 put with a delta of -0,45 and a gamma of 0,029I'm short on 800 call with a delta of 0,1 and a gamma of 0,014There is a negociable option with a delta of 0,6 and a gamma of 0,041. In which position do I have to be on this option and on the stock to obtain a global portfolio with a neutral delta and a neutral gamma?==> I tried to solve the problem in this way:Delta global of the portfolio: 250*0,5 + 100*(-0,45) - 800*0,1 = 0 (I use + if I'm long and - if I'm short). So, following the result, I don't need to buy stocks because I'm already delta neutral.Gamma global of the portfolio: 250*0,03 + 100*0,029 - 800*0,014 = -0,8. Following the result, I need some negociable options to obtain a neutral gamma. Quantity of options*0,041 - 0,8 = 0 (I choosed = 0 because I want a neutral position). The result of this equation = 19,51. The solution to my problem is that I don't need to buy stocks and I need to buy 20 options to have a global neutral portfolio gamma delta.Can you correct me or give me some advice for this problem???Thanks a lot for your help,Matt

Hint : After adjusting your portfolio for the gamma, you're no longer delta neutral...

OK, I think that I found the right solution.Once I have the global delta of 0 and the global gamma of -0,8, I have to find Q1 stocks and Q2 options. (Q for quantity)I solve the gamma: -0,8 + 0,041*Q2 = 0 => Q2= 19,51After that I can solve the equation to find my neutral delta. Neutral delta: Q1 + 0 + 0,6*Q2 = 0 because Q2 = 19,51 , Q1 = -11,71.The strategy is to sold 12 stocks and to buy 20 options. What do you think?

Your answer is correct.I hope you won't be offended if I make another suggestion. If you want a job in finance, fluent financial English is a huge advantage. I understand that's difficult to acquire, but it's easier to learn to type it than to speak it (for most people, anyway) and there are a few words and phrases that matter much more than others. Writing "data" instead of "datas" and "to sell" instead of "to sold" is worth a lot of money to you. It shouldn't matter, but it does.