Question: Use the information below to answer the following question. What position in option 1, option 2, and the underlying asset will make the portfolio delta,

Use the information below to answer the following question. What position in option 1, option 2, and the underlying asset will make the portfolio delta, gamma, and vega neutral?

Delta Gamma Vega

Portfolio 200 -250 -500

Option 1 0.50 0.25 1.00

Option 2 0.20 0.40 0.60

Position in Option 1:______________________

Position in Option 2:______________________

Position in Underlying Asset: ______________________

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