Exercise：
　　Suppose an existing short option position is delta-neutral, but has a gamma of negative 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?
　　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.
　　Answer：A
　　To gamma-hedge, we should buy 400 options (600/1.5). The additional options will alter delta, and to maintain delta-hedged position again, we should sell 300 shares (400×0.75) of the underlying position.
　　相關知識點：Delta-Neutral Hedging
　　?To completely hedge a long stock/short call position, purchase shares of stock equal to  of options sold.
　　?Only appropriate for small changes in the value of the underlying asset.
　　?Gamma can correct hedging error by protecting against large movements in asset price.
　　Gamma-neutral positions are created by matching portfolio gamma with an offsetting option position.
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