Assume the Black-Scholes framework. You are given:

(i) The current price of a nondividend-paying stock is 70.

(ii) The stock’s volatility is 25%.

(iii) The continuously compounded risk-free interest rate is 5%.

(iv) The following information about two European put options on the stock: 

Suppose you have just sold 1,000 units of Put A. You immediately delta-hedge and thetahedge your position by trading appropriate units of Put B and the stock. Calculate the amount of net investment you make today (including the sale of the 1,000 Put A).

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Put A B Current Price 6.9389 9.0062 Current Delta -0.2867 -0.3433 Current Gamma 0.0112 0.0121 Current Theta ? -0.2060