Suppose you are holding the following option portfolio on a given stock. Delta of option Type...

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Suppose you are holding the following option portfolio on a given stock. Delta of option Type Call Call Put Put Position 100 -200 -100 -100 0.10 Traded options 1 Traded options 2 -0.15 -0.50 0.2 0 (c) There are two traded options available: -0.1 Delta of option Gamma of option 0.02 0.01 0.05 0.05 0.05 (a) What is the aggregate Delta, aggregate Gamma, and aggregate Vega of your portfolio? 0.04 (b) A traded option is available with a Delta of 0.2, a Gamma of 0.01, and a Vega of 0.02. What position in the traded option and/or underlying stock would make the portfolio both Delta neutral and Vega neutral? Gamma of option Vega of option 0.01 0.02 0.03 0.04 Vega of option 0.02 0.02 What position in the traded option and/or underlying stock would make the portfolio both Gamma neutral and Vega neutral? Suppose you are holding the following option portfolio on a given stock. Delta of option Type Call Call Put Put Position 100 -200 -100 -100 0.10 Traded options 1 Traded options 2 -0.15 -0.50 0.2 0 (c) There are two traded options available: -0.1 Delta of option Gamma of option 0.02 0.01 0.05 0.05 0.05 (a) What is the aggregate Delta, aggregate Gamma, and aggregate Vega of your portfolio? 0.04 (b) A traded option is available with a Delta of 0.2, a Gamma of 0.01, and a Vega of 0.02. What position in the traded option and/or underlying stock would make the portfolio both Delta neutral and Vega neutral? Gamma of option Vega of option 0.01 0.02 0.03 0.04 Vega of option 0.02 0.02 What position in the traded option and/or underlying stock would make the portfolio both Gamma neutral and Vega neutral?

Answer rating: 100% (QA)

a The aggregate delta of the portfolio is the sum of the deltas of each option position For the call ... View the full answer