问题如下图：卖300底层资产后不会再改变gamma吗？
选项：
A. 
B. 
C. 
D. 
解释：
NO.PZ2016082404000031 问题如下 Suppose existing short option position is lta-neutral, but ha gamma of -600. Also assume ththere exists a traoption with a lta of 0.75 ana gamma of 1.50. In orr to maintain the position gamma-neutranltneutral, whiof the following is the appropriate strategy to implement? Buy 400 options ansell 300 shares of the unrlying asset. Buy 300 options ansell 400 shares of the unrlying asset. Sell 400 options anbuy 300 shares of the unrlying asset. Sell 300 options anbuy 400 shares of the unrlying asset. ANSWER: ABecause gamma is negative, we neeto buy a call to increase the portfolio gamma bato zero. The number is 600/1.5 = 400 calls. This, however, will increase the lta from zero to 400 × 0.75 = 300. Hence, we must sell 300 shares to bring the lta bato zero. Note thpositions in shares have zero gamm 这是默认stock的Δ=1，gamma=0了吗？
NO.PZ2016082404000031问题如下 Suppose existing short option position is lta-neutral, but ha gamma of -600. Also assume ththere exists a traoption with a lta of 0.75 ana gamma of 1.50. In orr to maintain the position gamma-neutranltneutral, whiof the following is the appropriate strategy to implement? Buy 400 options ansell 300 shares of the unrlying asset. Buy 300 options ansell 400 shares of the unrlying asset. Sell 400 options anbuy 300 shares of the unrlying asset. Sell 300 options anbuy 400 shares of the unrlying asset. ANSWER: ABecause gamma is negative, we neeto buy a call to increase the portfolio gamma bato zero. The number is 600/1.5 = 400 calls. This, however, will increase the lta from zero to 400 × 0.75 = 300. Hence, we must sell 300 shares to bring the lta bato zero. Note thpositions in shares have zero gamma.请问在第一步调整gamma neutral的时候， 我根据gamma hee公式N份option1 * gamma 1 + N份option2* gamm= 0 带入题目中的条件。因为题目最开头说有一个“short position ”的option，所以我填‘N份option1’这项为-1。然后公式算出的答案N份option2=-400 (short 400份），显然与答案不同应该是long400 options请老师指点一下 我这个思路错在哪里了。 题目一开始说有short position的option，难道公式中‘’N份option1’ 不用-1吗？ 谢谢
