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. value predicted by the rho? 26. A stock is currently trading at 55. You hold a portfolio of the following instruments: Long 200 shares of stock. Long 200 puts with a strike of 50 and maturity of three months. Short 200 calls with a strike of 60 and maturity of three months. You are given the following information: . Instrument Price Gamma Theta Rho Call with K = 50 Put with K = 50 6.321 0.700 Delta 0.823 --0.177 0.038 0.038 Vega 7.152 7.152 -5.522 -3.053 9.730 -2.615 Call with K = 55 Put with K = 55 3.079 0.565 0.057 2.396 -0.435 0.057 10.827 10.827 -6.812 -4.096 6.993 -6.586 Call with K = 60 Put with K = 60 1.210 5.465 0.297 -0.703 0.050 0.050 9.515 9.515 -5.513 -2.551 3.779 .-11.035 (a) What is the current value of your portfolio? (b) What is the delta of your portfolio? the gamma? the vega? the theta? the rho? (C) Suppose you want to make your portfolio gamma neutral. What is the cost of achieving this using the 55-strike call? What is the theta of your new position? (d) What is the cost if you used the 55-strike put? What is the theta of the new position? 27. Using the same infor