1) (40 points in total) Chevron sells for 110. The interest rate is 3 percent and the time to expiration on all options is 5 months. The annual standard deviation on Chevron stock is 28%. You go short 150 call options with a strike price of 115. A: (5 points) Explain how you would delta hedge your portfolio. B: (10 points) Explain how you would delta-gamma hedge your portfolio, using put options at 107. C: (25 points) After you have hedged your position, the price of Chevron stock moves instantaneously to X, X a number between 85 and 135. Graph on the same graph the change in your portfolio value for both delta hedging and delta-gamma hedging. 1) (40 points in total) Chevron sells for 110. The interest rate is 3 percent and the time to expiration on all options is 5 months. The annual standard deviation on Chevron stock is 28%. You go short 150 call options with a strike price of 115. A: (5 points) Explain how you would delta hedge your portfolio. B: (10 points) Explain how you would delta-gamma hedge your portfolio, using put options at 107. C: (25 points) After you have hedged your position, the price of Chevron stock moves instantaneously to X, X a number between 85 and 135. Graph on the same graph the change in your portfolio value for both delta hedging and delta-gamma hedging