For the following questions, use the data on Microsoft call options in the table below and assume that the repo rate is 4.9% per year and you are long 2000 contracts with strike price 130 (each costing 100* the price listed above 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)? What transaction(s) would you need to undertake to make your total position delta and gamma-neutral (again without selling the calls)? Suppose that Microsoft's price suddenly dropped to $130. What would be the change in your total position value assuming that you followed (b) and (c) above? You don't need to worry about rehedging.

Close	Strike	Maturity	Price
142.1875	130	40 days	16.5
142.1875	140	40 days	10.25