Question: Create a neutral delta portfolio with two options on the same stock and evaluate the position in terms of the position's OPM value and gamma.

Create a neutral delta portfolio with two options on the same stock and evaluate the position in terms of the position's OPM value and gamma. On the OVME screen, click the + icon next to "Deals" to add a new deal, and then click "Add Legs" from the gray "Leg" dropdown. Input information for each option in the input box (different exercise price and expirations). Given each option's delta, solve for the number of options needed to create a neutral delta position. Click the white "Greeks" + icon row to see the Greek display. Click the "Scenario" tab to view your position's value and profit-loss relation for different stock prices.

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