A
Acadi
Fi
Courses
Knowledge Hub
Community
Practice
Pricing
About
Search
⌘K
Question Bank
/
CFA
/
Level II
/
Derivatives
Derivatives
Hard
A portfolio at Lakewood Trading is delta-neutral and has a gamma of -3,500. If the underlying stock moves up $4 in one day, the approximate change in the portfolio's delta and the required rebalancing action are:
A
Delta changes by -14,000; buy 14,000 shares to restore delta neutrality
B
Delta changes by +14,000; sell 14,000 shares to restore delta neutrality
C
Delta changes by -875; buy 875 shares to restore delta neutrality
D
Delta changes by -14,000; sell 14,000 shares to restore delta neutrality
Select an answer to continue
Tags
#gamma
#delta-hedging
#rebalancing
#greeks
More Derivatives questions
Start full Level II quiz