Qliat'lon I: (7 marks) (4) Which points indicate or which point indicates a delta neutral porolio'? When a portfolio is delta neutral and has a negative gamma. a le- is experienced when there is a Large movement in the underlying met price. Please circle the A. aand c eon-oer answer for each of the following questions based on the graph below (1 mark B. b and e each), and then explain the statement based on your short answers (3 marks). C. d and f D. I) only (5) Explain: "when a portfolio is delta neutral and hm a negative gamma 3 II. is experienced when there is a large movement in the underlying met price." v I E . {PP '5' (1) '[here are two curves on the graph Xiaxis represents the underlying value 5', Yaxis represents the option portfolio value Pt. What represents the delta of the portfolio? A. Slope of the curve B. Curvature of the curve C. "Width of the curve D. Opening direction of the curve {up or down} (2) '[he gamma indicates the ratio of the amount that the portfolio delta changes to the amount that underlying changes. Then, what represents the Gamma of the portfolio? A. Slope of the curve B. Curvature of the curve C. Width of the curve D. Opening direction of the curve (up or down) (3) Which graph (the le one or the right one) represents a negative Gamma? A, Left B. Right