3. Some European Call and Put Options of United Airlines (UAL) are given below. They expire on April 16, 2021. Dashboard Charts Options Detailed Multiple Realtime Future Symbol Lookup Livevol Streaming United Airlines Holdings Inc 2021-03-15 11:20:11 ET (Delayed) Bid: 61.18 Ask: 61.21 Vol: 9,422,839 Last: 61.2 : Change: +4.905 (+8.7138%) ) Puts Last Net 1.77 -1.78 Bid Ask Vol 1.75 1.81 397 111 Calls Last Net Bid Ask Vol IV Delta Gamma Int 7.95 +33 7.85 8.1 746 0.61 0.75 0.03 4795 6.35 +2.8 6.25 6.5 597 0.62 0.66 0.03 5122 5 +2.33 4.95 5.05 3.952 0.61 0.58 0.04 14490 3.8 -1.92 3.8 3.95 3,408 0.62 0.49 0.04 3780 3 +1.6 2.98 3.05 1,531 0.62 0.41 0.03 9181 1.73 -0.935 1.72 1.78 1.78 689 0.64 0.27 0.03 1867 Fri Apr 16 2021 A Strike UAL 55.000 UAL 57.500 UAL 60.000 UAL 62.500 UAL 65.000 UAL 70.000 102 2.68 -2.295 2.62 2.66 3.76 -2.815 3.7 3.85 5.15 -3.25 5.05 5.25 6.7 -3.7 6.65 6.95 10.65 -3.975 10.3 10.7 IV Delta Gamma Int 0.6 -0.25 0.03 0.03 1478 0.6 -0.33 0.03 236 0.6 -0.42 0.04 125 0.61 -0.51 0.04 36 0.62 -0.6 0.03 62 0.62 -0.74 0.03 17 13 183 68 Suppose you just purchased 100 shares of $55 put option (i.e., long put). You want to delta-gamma hedge your position in $55 long put using UAL stocks and $60 put option. The numbers of stock and $60 put option you should short or long for the delta-gamma hedge are closest to: A) Short 30 shares of stock and long 55 shares of $60 put option B) Short 6.5 share of stock and short 75 shares of $60 put option C) Long 15.2 shares of stock and long 45 shares of $60 put option D) Long 4.1 shares of stocks and short 12 shares of $60 put option