Which position is most risky?
A. Gamma-negative, delta-neutral
B. Gamma-positive, delta-positive
C. Gamma-negative, delta-positive
D. Gamma-positive, delta-neutral
Answer:C
A riskier position is one that is expected to move around a lot in value. A delta neutral position should not change in value as the value of the underlying asset changes. This eliminates Choice A and Choice D Choice C is correct because a gamma-negative position means that delta and the change in the underlying asset move inversely with each other.