## The gamma of a delta-neutral portfolio is -400. Other things equal, what is the impact of a jump of $2 in the price of the underlying asset? A. A gain of $1,600 B. A loss of $1,600 C. A gain of $800 D. A loss of $800

The gamma of a delta-neutral portfolio is -400. Other things equal,

what is the impact of a jump of $2 in the price of the underlying asset?

A. A The gamma of a delta-neutral portfolio is -400. Other things equal,

what is the impact of a jump of $2 in the price of the underlying asset?

A. A gain of $1,600

B. A loss of $1,600

C. A gain of $800

D. A loss of $800gain of $1,600

B. A loss of $1,600

C. A gain of $800

D. A loss of $800