For the following questions, use the data on Microsoft call options in the table below and assume that the repo (risk-free) rate is 4.9% per year, the maturity is in 40 calendar days (40/365 = T), and you are long 20 contracts (on 2000 shares) with strike price 130 (each costing 100* the price listed below and paying 100*max[S - 130, 0] ): What are the sigma, delta, gamma, vega, and rho of the 130 option? What transaction(s) would you need to undertake to make your total position delta-neutral (without selling the contracts)? Just use the underlying asset for this hedge. What transaction(s) would you need to undertake to make your total position delta and gamma-neutral (again without selling the calls)?

Close 142.1875 Strike 130 Maturity 40 days Price16.5

Close 142.1875 Strike 140 Maturity 40 days Price 10.25