15. The following options are available on XYZ stock: | Call Put $30 $30 | 1.00 1.25 Delta 0.703 -0.292 Gamma 0.036 0.032 The stock is currently priced at $32 and has a volatility (0) of 30% p.a. The continuously compounded risk-free rate is 5% p.a. The Black-Scholes option pricing model values the call at $5.60 and the put at $2.14. (a) Assume an options trader sells an XYZ call option, what position must she take in the stock to make her portfolio delta-neutral? (b) What position must she take in the stock and put options to make her portfolio delta-neutral and gamma-neutral