A Three-Month At-The-Money Call Option on a Stock Is Trading

A three-month at-the-money call option on a stock is trading at $5;the stock is trading at $50.A forward start option that comes to life in one month and has a life of three months from that point and that will be at-the-money when it comes to life is trading at $4.98.You hold a portfolio that is long the three-month call and short the forward start.The gamma of the portfolio is

A) Positive
B) Zero
C) Negative
D) Can be positive,zero,or negative.

Correct Answer:

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