1. The Greeks (4 points) a. Generic Stock Inc. (GS) is trading at $100. A call option with a strike price of $102, which expires in 6 months, costs $9.52 (assuming a risk-free rate of 5% and a volatility of 0.33 ). What is the Delta of this option? b. Using your answer from above, assuming you want to write 12 call options (you are obligated to buy 1,200 shares), how many shares must you purchase today in order for your position to be Delta Neutral? c. Assuming your portfolio now has a Gamma of -12 , and the option has a Gamma of 1.3333, how many more options must you buy to make your portfolio Gamma Neutral? d. After making your portfolio Gamma Neutral, it is no longer Delta Neutral. How many more shares must you buy or sell in order to be both Gamma and Delta Neutral