When the Gamma of the Delta neutral portfolio is γ (γ ≠ 0), we need to find an option contract for Gamma hedging. Assuming that the Gamma of the contract is γ T, adding wt option to the portfolio, the Gamma of the new trading portfolio thus obtained is WT γ T+γ. In order to keep the new Gamma value neutral, investors need to trade the position of WT =-γ/γ T =-(104/3.75) =-27.73, so they sell 28 A options. Because the Delta value decreases, A is selected.