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You are given the following information about two options, A and B, on the same stock:
| | A | B |
| Delta | 0.56 | 0.41 |
| Gamma | 0.07 | 0.09 |
You have just purchased 1000 units of A . You wish to Delta-Gamma-hedge your position. Which of the following is true?
_________________________
A) You need to sell 778 units of B and 241 shares of stock.
B) You need to buy 778 units of B and 241 shares of stock.
C) You need to sell 778 units of B and buy 241 shares of stock.
D) You need to buy 778 units of B and sell 241 shares of stock.
E) None of the above is correct.
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