Question

At the moment you own ten put options.
In what follows, round your answers to the. fourth decimal place.

(a) (5 points) How can you make your portfolio delta neutral?
(b) (5 points) How can you make your portfolio gamma and delta neutral?
(c) (5 points) How can you make your original portfolio vega and delta neutral?
(d) (5 points) How can you make your portfolio delta-gamma-vega neutral?

Answer 1

a) if you only own 10 puts, you are delta negative. you can become delta neutral by buying delta, ie buying the underlying in the cash / derivatives market

a) if you only own 10 puts, you are delta and gamma positive?. i think that you can become delta neutral by buying delta and selling gamma, ie selling your 10 put options, or a combination of selling stocks and puts, or selling stocks and buying calls