The gamma of a delta-neutral portfolio is 500.What is the impact of a jump of $3 in the price of the underlying asset?
A) A gain of $2,250
B) A loss of $2,250
C) A gain of $750
D) A loss of $750

Name: The gamma of a delta-neutral portfolio is 500.What is the impact of a jump of $3 in the price of the underlying asset? A) A gain of $2,250 B) A loss of $2,250 C) A gain of $750 D) A loss of $750
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Question

Quizplus · Accepted Answer

The change in the value is a gain of 0.5F1F1F1S1F1F1F10S² = 0.5×500×3²=$2,250.

The Gamma of a Delta-Neutral Portfolio Is 500