You have written a put on a put,where the underlying put is written on a stock index.To delta hedge yourself you can either go the underlying put or the underlying index.
A)short;short.
B)short;long.
C)long;short.
D)long;long.

Question

Quizplus · Accepted Answer

When the index goes up,the underlying put goes down in value,so the put-on-put goes up in value.So the delta of the put-on-put with respect to the underlying put is negative,and with respect to the underlying index is positive.

You Have Written a Put on a Put,where the Underlying