In addition to the Greeks as in Problem 1, for the 46 day 7.50 puts delta is −0.0528, gamma is 0.0738, and vega is 0.0036. Can you set up a delta-gamma-vega neutral position? Do so if possible.

Data given in Problem 1

At the present time BAC is selling for 9.52. Its 18 day 10 dollar calls have these Greeks: Δ = 0.3366, Γ = 0.3509, ν = 0.0077 (directly from a brokers web site). 

(a) What are the corresponding Greeks of the 18 day 10 dollar puts? The 46 day 10 dollar calls have these Greeks: Δ = 0.388, Γ = 0.277, ν = 0.0129. 

(b) Set up a delta-gamma neutral portfolio in BAC. 

(c) Set up a delta-vega neutral portfolio in BAC. 

(d) Can the implied volatility be calculated from these data? Explain.