A portfolio of stock A and options on stock A is currently delta neutral, but has a positive gamma. Which of the following actions will make the portfolio both delta and gamma neutral?
A. Buy call options on stock A and sell stock A
B. Sell call options on stock A and sell stock A
C. Buy put options on stock A and buy stock A
D. Sell put options on stock A and sell stock A
Answer:D
To reduce positive gamma, one needs to sell options. When call options are sold, the delta becomes negative and one needs to buy stock to keep delta neutrality. When put options are sold, the delta becomes positive, and one needs to sell stock to keep delta neutrality.?

 
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