Question: ) Consider a portfolio that is Delta neutral, with a Gamma of - 2,500 and a Vega of - 4,000. The following traded options are

) Consider a portfolio that is Delta neutral, with a Gamma of - 2,500 and a Vega of - 4,000. The following traded options are available: Delta Gamma Vega Option 1 0.3 0.25 1 Option 2 0.25 0.4 0.6 Calculate and explain what positions need to be taken to make the portfolio both Gamma and Vega neutral, as well as Delta neutral.

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