Question: consider again the situation in problem 8.17. Suppose that a second traded option with a delta of .1, a gamma of .5 and a vega

consider again the situation in problem 8.17. Suppose that a second traded option with a delta of .1, a gamma of .5 and a vega of .6 is available. How could the portfolio be made delta, gamma, and vega neutrtral?

Problem 8.17

Type	Position	Delta of option	Gamma of option	Vega of Option
Call	-1,000	.50	2.2	1.8
Call	-500	.80	.6	.2
Put	-2,000	-.40	1.3	.7
Call	-500	.70	1.8	1.4

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