Question: Please see attached table: A traded option is available with a delta of 0.6, a gamma of 1.6, and a vega of 0.75. a)What position

Please see attached table:

A traded option is available with a delta of 0.6, a gamma of 1.6, and a vega of 0.75.

a)What position in the traded option and in Canadian dollar would make the portfolio both vega neutral and delta neutral?

b)A trader's portfolio is delta neutral and has a gamma of -4,250. The delta and gamma of a particular traded call option are 0.62 and 1.52, respectively. The trader wants to make the portfolio gamma neutral as well as delta neutral. What position should the trader take. Explain to the trader what protection delta and gamma neutrality can provide to his portfolio.

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