A

问题如下：

Which of the following is least likely correct regarding the gamma hedge?

选项：

A.

To be fully hedged against a small change in the stock price, the proper strategy to construct the hedge is to use call option delta and add the call option gamma to arrive at the number of shares required.

B.

To achieve a gamma neutral portfolio, the portfolio delta should be neutralized firstly.

C.

Gamma can be managed to an acceptable level by buying or selling options.

解释：

B is incorrect. A gamma neutral portfolio implies the gamma is zero. To achieve a gamma neutral portfolio, First, gamma can be managed to an acceptable level by buying or selling options; Second, then delta is neutralized. To alter the portfolio delta, the trader simply buys or sells stock.