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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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Portfolio manager Sally has a position in 100 option contracts with the following position Greeks: theta = +25,000; vega = +330,000 and gamma = -200; i.e., positive theta, positive vega and negative gamma. Which of the following additional trades, utilizing generally at-the-money (ATM) options, will neutralize (hedge) the portfolio with respect to theta, vega and gamma?

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