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Can a Portfolio Be Both Delta-Neutral and Gamma-Neutral?

Yes, insensitive to price changes and Delta changes; Combination of options and underlying; Reduces rebalancing cost.
Greeks.Live08.11.25

Can a Portfolio Be Both Delta-Neutral and Gamma-Neutral?

Yes, a portfolio can be both Delta-neutral (insensitive to small price changes) and Gamma-neutral (insensitive to changes in Delta). This is achieved by structuring the portfolio using a combination of options and the underlying asset.

A Gamma-neutral portfolio requires less frequent rebalancing, reducing transaction costs associated with dynamic hedging.

What Role Does Gamma Play in the Cost of Maintaining a Delta-Neutral Portfolio?
Define the Term ‘Delta Neutral’ in Options Trading
How Can a Trader Use a Combination of Calls and Puts to Achieve a Zero Net Delta?
How Does a Large, Sudden Price Jump (Jump Risk) Affect a Gamma-Neutral Portfolio?

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