Recent content by Nic88

How do you neutralise delta and gamma of the following portfolio using a option with delta=0.4, Gamma=1.3 and Vega=0.5? Portfolio: Long 500 call with delta=0.5, gamma = 1.2 and vega=1.5 Short 500 call with delta=0.4, gamma = 0.6 and vega=0.3 Short 2000 put with delta= -0.8 , gamma = 0.9...

How do you neutralise delta and gamma of the following portfolio using a option with delta=0.4, Gamma=1.3 and Vega=0.5? Long 500 calls with delta=0.5, gamma = 1.2 and vega=1.5 Short 500 calls with delta=0.4, gamma = 0.6 and vega=0.3 Short 2000 puts with delta= -0.8 , gamma = 0.9 and...