Add training workflow, datasets, and runbook

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+Chapter 40: Advanced Concepts 883 
+One other point should be made: The fact that gamma and delta are neutral to 
+begin with does not mean that they will remain neutral indefinitely as the stock 
+moves (or even as volatility changes). However, there will be little or no effect of 
+stock price movements on the position in the short run. 
+In summary, then, one can always create a position that is neutral with respect 
+to both gamma and delta by first choosing a ratio that makes the gamma zero, and 
+then using a position in the underlying security to neutralize the delta that is created 
+by the chosen ratio. This type of position would always involve two options and some 
+stock. The resulting position will not necessarily be neutral with respect to the other 
+risk factors. 
+THE MATHEMATICAL APPROACH 
+The strategist should be aware that the process of determining neutrality in several 
+of the risk variables can be handled quite easily by a computer. All that is required is 
+to solve a series of simultaneous equations. 
+In the preceding example, the resulting vega was negative: -$238. For each 
+decline of 1 percentage point in volatility from .the current level of 35%, one could 
+expect to make $238. This result could have been reached by another method, as 
+long as one were willing to spell out in advance the amount of vega risk he wants to 
+accept. Then, he can also assume the gamma is zero and solve for the quantity of 
+options to trade in the spread. The delta would be neutralized, as above, by using the 
+common stock. 
+Example: Prices are the same as in the preceding example. XYZ is 48. There are 
+three months to expiration, and the volatility of XYZ and its options is 35%. The fol­
+lowing information is also the same: 
+Option 
+April 50 call 
+April 60 call 
+Price 
+2.50 
+1.01 
+Delta 
+0.47 
+0.17 
+Gamma 
+0.045 
+0.026 
+Vega 
+0.08 
+0.06 
+A spreader expects volatility to decline and is willing to set up a position where­
+by he will profit by $250 for each one percentage decrease in volatility. Moreover, he 
+wants to be gamma and delta neutral. He knows that he can eventually neutralize any 
+delta by using XYZ common stock, as in the previous example. How many options 
+should be spread to achieve the desired result?