Answer: Buy call options on stock A and sell stock A

## Explanation To understand why option A is correct, let's analyze the greek exposures: **Current Portfolio:** - Delta neutral (Δ = 0) - Positive gamma (Γ > 0) **Option A: Buy call options and sell stock A** - **Call options have positive delta and positive gamma** - **Stock has delta of +1 and gamma of 0** - Buying calls: Increases positive gamma - Selling stock: Creates negative delta - The negative delta from selling stock can offset the positive delta from buying calls - The positive gamma from buying calls can offset the existing positive gamma **Why other options don't work:** - **Option B:** Selling calls (negative gamma) would make gamma more positive, not neutral - **Option C:** Buying puts (negative delta, positive gamma) and buying stock (positive delta) would maintain positive gamma - **Option D:** Selling puts (positive delta, negative gamma) and selling stock (negative delta) would make gamma more negative The key insight is that we need to **reduce positive gamma** while maintaining delta neutrality. Buying options (which have positive gamma) and adjusting the stock position to maintain delta neutrality achieves this goal.

Author: LeetQuiz .