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training_data/curated/text/454cedd2b7b6b4ffec87049ea7cbedc22485b9a4c219b723be09970ec8a7e505.txt

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+Chapter 40: Advanced Concepts 
+Using deltas, the following spread appears to be neutral: 
+Buy l January bean 57 5 call at 19 .50 
+Sell 6 January bean 675 calls at 2.25 
+Net position: 
+19.50 DB 
+13.50 CR 
+6 Debit 
+879 
+At the time the original example was presented, it was demonstrated through 
+the use of the profit picture that the ratio was too steep and problems could result in 
+a large rally. 
+Now that one has the concept of gamma at his disposal, he can quantify what 
+those problems are. 
+The position gamma of this spread is quite negative: 
+Position gamma = .01 - 6 x .0026 = -0.0056 
+That is, for every 10 points that January soybeans rally, the position will become 
+short about 1/2 of one futures contract. The maximum profit point, 675, is 92 points 
+above the current price of 583. While beans would not normally rally 92 points in 
+only a few days, it does demonstrate that this position could become very short if 
+beans quickly rallied to the point of maximum profit potential. Rest assured there 
+would be no profit if that happened. 
+Even a small rally of 20 cents (points) in soybeans - less than the daily limit -
+would begin to make this tiny spread noticeably short. If one had established the 
+spread in some quantity, say buying 100 and selling 600, he could become seriously 
+short very fast. 
+A neutral spreader would not use such a large ratio in this spread. Rather, he 
+would neutralize the gamma and then attempt to deal with the resulting delta. The 
+next section deals with ways to accomplish that. 
+CREATING MULTIFACETED NEUTRALITY 
+So what is the strategist to do? He can attempt to construct positions that are neutral 
+with respect to the other factors if he perceives them as a risk. There is no reason why 
+a position cannot be constructed as veg a neutral rather than delta neutral, if he wants 
+to eliminate the risk of volatility increases or decreases. Or, maybe he wants to elim­
+inate the risk of stock price movements, in which case he would attempt to be gamma 
+neutral as well as delta neutral. 
+This seems like a simple concept until one first attempts to establish a position 
+that is neutral with respect to more than one risk variable. For example, if one is