问题如下：
A delta-neutral position has a gamma of 4,800. A 0.8 delta option has a gamma of 1.8. Which of the following will generate a gamma-neutral position?
选项：
A.Sell 8,640 of the options.
B.Buy 8,640 of the options.
C.Sell 2,667 of the options.
D.Buy 2,667 of the options.
解释：
C is correct.
考点：Other Greek Letters-Gamma
解析：为了使得gamma-neutral, 需要将现有头寸中4,800 的gamma降到0，因此要卖出期权。现有期权的gamma是1.8，所以需要卖出的数量=4,800/1.8=2,667份。
老师您好，A 0.8 delta option has a gamma of 1.8这句话不是很理解，什么是0.8 delta option？
