Consider the situation described in the table below.

To make the portfolio Gamma and Vega neutral, both Option 1 and Option 2 can be used. What should be done to obtain a final portfolio that is Delta, Gamma and Vega neutral?

		One should buy 400 of Option 1, buy 6000 of Option 2 and sell 3240 shares.
		One should buy 5200 of Option 1, buy 500 of Option 2 and sell 3370 shares.
		One should buy 5200 of Option 1, buy 500 of Option 2 and buy 3240 shares.
		One should sell 5200 of Option 1, buy 6000 of Option 2 and buy 3370 shares.
		None of the above.

Portfolio Option 1 Option 2 Delta Gamma Vega 0 (3,000) (11,000 ) 0.6 0.5 2 0.5 0.8 1.2