73. An existing option short position is delta-neutral, but has a -5,000gamma exposure. An option is available that has a gamma of 2 and a delta of0.7. What actions should be taken to create a gamma-neutral position that willremain delta-neutral?
　　a. Go long 2,500 options and sell 1,750shares of the underlying stock.
　　b. Go short 2,500 options and buy 1,750shares of the underlying stock.
　　c. Go long 10,000 options and sell 1,750shares of the underlying stock.
　　d. Go long 10,000 options and buy 1,7/50shares of the underlying stock.
　　答案解析：选A
 
　　Since the current position is short gamma,the action that must be taken is to go long the option in the ratio of thecurrent gamma exposure to the gamma of the instrument to be used to create thegamma neutral position (5,000 / 2 = 2,500). However, this will change the deltaof the portfolio from zero to (2,500 x 0.7) = 1,750. This means that 1,750 ofthe underlying stock position will need to be sold to maintain both gamma and deltaneutrality. (See Book 2, Topic 42)
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