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Difficulty: Hard
Category: Options & Greeks
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: options, gamma, delta, gamma-scalping, trading
You are managing a portfolio with a long straddle position (long call and long put) on a stock. The stock price is currently 100 dollars, and your position is delta-neutral. Your gamma is positive. The stock price moves up to 101 dollars. To maintain a delta-neutral position through gamma scalping, what action do you take?
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