这道题如何看出来是Long stock + Long put

问题如下：

Lee also indicates that a long position in puts could be used to hedge larger moves in the GPX. She notes that although hedging with either puts or calls can result in a delta-neutral position, they would need to consider the resulting gamma.

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.

B.

neutral.

C.

positive.

解释：

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.