(a) Briefly explain why the gamma for the 425 series is higher than the gamma for the 400 and 450 series? (b) If we create a vertical spread using the 410 and 440 series of options, what is the delta of the spread and its break-even if we use calls? If we use puts? (c) If we short a straddle at 425, what is the breakeven on the upside and the downside? Very briefly explain under what market conditions you might want to set up such a strategy. Strike 450 445 440 435 430 425 420 415 410 405 400 Call delta Put delta 1.500 0.14 27.500 -0.86 2.125 0.18 23.125 -0.82 3.125 0.25 19.125 -0.75 4.375 0.32 15.375 -0.68 6.000 0.40 12.000 -0.60 8.125 0.49 9.125 -0.51 10.750 0.58 6.750 -0.42 13.875 0.67 4.875 -0.33 17.374 0.75 3.374 -0.25 21.375 0.81 2.375 -0.19 25.625 0.86 1.625 -0.14 Gamma 0.009 0.012 0.014 0.017 0.018 0.018 0.018 0.016 0.014 0.012 0.010 Note the gamma, vega and theta is the same for calls and puts. Vega 0.273 0.332 0.395 0.448 0.485 0.501 0.490 0.454 0.399 0.337 0.274 Theta -0.076 -0.091 -0.109 -0.122 -0.131 -0.136 -0.133 -0.125 -0.110 -0.095 -0.078