Question: A portfolio has two options: Option A is short call with a gamma of 0.1 and option B is a long put with gamma 0.3.

A portfolio has two options: Option A is short call with a gamma of 0.1 and option B is a long put with gamma 0.3. Option A is to buy 100 shares and option B is to sell 100 shares. The portfolio is also long 100 shares. What is the position gamma of the portfolio? -40 -20 20 120

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