9. Gamma: Look at the following chart. Based only on this information, rank the options in terms of moneyness, from deepest ITM to deepest OTM. UNDERLYING PRICE TYPE OPTION GAMMA A B D $138.35 $138.35 $138.35 $138.35 call call put put .13 06 08 .10 10. Gamma: An option is trading at $5.26, has a delta of 52, and a gamma of 11. what would the delta of the option be if the underlying increases by 5.75? What would the delta of the option be if the underlying decreases by $1.05? Explain. 11. Vera: An option is priced at $3.20 and has a vega of 10. If the implied volatility of the option is 25%, what would the option price be if the volatility of the underlying increases by 1%? 12. Vega: A stock is about to announce earnings, and the option has begun to increase in price, even though the underlying price hasn't changed. Why is this happening? 13. Vega: Look at the following chart. Based only on this information, rank the options in terms of moneyness, from deepest ITM to deepest OTM. UNDERLYING PRICE TYPE A B D $138.35 $138.35 $138.35 $138.35 call call put put OPTION VEGA .13 .06 -08 -10 14. Delta Neutrality Based on the stock portfolio below, use options to build a delta neutral portfolio, keeping the long equity positions as is. NOTE: If an option is a short call or a long put. be sure to remember that these positions have negative delta. UNDERLYING PRICE OPTION PRICE OPTION DELTA 400 30 100 75 500 165 Acadia Pharma (ACAD) Netflix Inc. (NFLX) Proctor & Gamble Co. (PG) IBM (BM) Pure Storage Inc. (PST) ZScaler, Inc (ZS) $26.60 18 Apr 2019 25 call $357.32 17 May 2019 380 put $98.44 5 Apr 2019 95 call $139.20 5 Apr 2019 137 put $20.86 17 May 2019 22.5 call $60.80 20 Dec 2019 50 call $3.70 $36.95 $4.35 $4.30 $.95 $17.70 .65 -60 .75 61 38 .75