60 Question 8. A. You have just underwritten 2 call option contracts with a strike of $70 on a stock that is currently trading at $60. If you would like to have a delta neutral position, what trade do you have to execute? [5 marks] Maturity Strike Price Volatility 9 months 5.810 25% 9 months 2.302 9 months 1.418 30% Note: the risk-free rate is 3% B. In 4 months, the price of the underlying stock is now $52 . What trade do you have to execute to become delta-neutral again? Assume that volatility remains the same. [5 marks] 70 25% 80