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+Chapter 40: Advanced Concepts 881 
+Hence, it is always a simple matter to create a position that is both gamma and delta 
+neutral. In fact, it is just as simple to create a position that is neutral with respect to 
+delta and any other risk measure, because all that is necessary is to create a neutral 
+ratio of the other risk measure (gamma, vega, theta, etc.) and then eliminate the 
+resulting position delta by using the underlying. 
+In theory, one could construct a position that was neutral with respect to all five 
+risk measures (or six, if you really want to go overboard and include "gamma of the 
+gamma" as well). Of course, there wouldn't be much profit potential in such a posi­
+tion, either. But such constructions are actually employed, or at least attempted, by 
+traders such as market-makers who try to make their profits from the difference 
+between the bid and off er of an option quote, and not from assuming market risk 
+Still, the concept of being neutral with respect to more than one risk factor is a 
+valid one. In fact, if a strategist can determine what he is really attempting to accom­
+plish, he can often negate other factors and construct a position designed to accom­
+plish exactly what he wants. Suppose that one thought the implied volatility of a cer­
+tain set of options was too high. He could just sell straddles and attempt to capture 
+that volatility. However, he is then exposed to movements by the underlying stock He 
+would be better served to construct a position with negative vega to reflect his expec­
+tation on volatility, but then also have the position be delta neutral and gamma 
+neutral, so that there would be little risk to the position from market movements. This 
+can normally be done quite easily. An example will demonstrate how. 
+Example: XYZ is 48. There are three months to expiration, and the volatility of XYZ 
+and its options is 35%. The following information is also known: 
+XYZ:48 
+Option Price Delta Gamma Vega 
+April 50 call 2.50 0.47 0.045 0.08 
+April 60 call l.00 0.17 0.026 0.06 
+For whatever reasons - perhaps the historical volatility is much lower - the 
+strategist decides that he wants to sell volatility. That is, he wants to have a negative 
+position vega so that when the volatility decreases, he will make money. This can 
+probably be accomplished by buying some April 50 calls and selling more April 60 
+calls. However, he does not want any risk of price movement, so some analysis must 
+be done. 
+First, he should determine a gamma neutral spread. This is done in much the 
+same manner as determining a delta neutral spread, except that gamma is used.