Question: Question 4 Consider the portfolio shown in Table 1 comprised of four over-the-counter options on the Tesco stock, that was trading at 2.77 at the

Question 4

Consider the portfolio shown in Table 1 comprised of four over-the-counter options on the Tesco stock, that was trading at 2.77 at the close of the trading day 18th March 2022:

Table1

Position

Delta

Gamma

Vega

Theta

Option a (Put)

370

0.3

0.8

0.3

-0.5

Option b (Call)

-850

0.2

1.4

0.2

-0.1

Option c (Put)

230

-0.1

1.1

0.1

-0.2

Option d (Call)

-470

0.7

0.9

0.4

-0.3

a) Compute the delta, gamma and vega of the portfolio. What position is needed to make the portfolio delta neutral?

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