NO.PZ202108100100000408
问题如下：
Lee’s put-based hedge strategy for Solomon’s ETF position would most likely
result in a portfolio gamma that is:
选项：
A.negative.
neutral.
positive.
解释：
C is correct.
Because the gamma of the stock position is 0 and the put gamma is always non-negative, adding a long position in put options would most likely result in a positive portfolio gamma.
Gamma is the change in delta from a small change in the stock’s value. A stock position always has a delta of +1. Because the delta does not change, gamma equals 0.
The gamma of a call equals the gamma of a similar put, which can be proven using put-call parity.
中文解析：
根据题干可知，使用的是long put来进行对冲。对于call或者put，只要是long头寸，gamma都为正的；而不论call或者put只要是short 头寸，其gamma都是负的。因此本题选C。
请问，如果不是put-based hedge strategy，而是call-based hedge strategy，那本题中就是short call，那就是gamma为负了？
