A delta-neutral portfolio has a gamma of -40 and a vega of -60. Two additional options are available in the market. One has a delta of 0.6, gamma of 0.5 and vega of 1.5, while the other has a delta of 0.5, gamma of 0.8 and vega of 1.2. (a) What positions in these new options should be taken to make the resulting portfolio gamma-vega -neutral? (b) What would be the delta of the new portfolio incorporating these options? (C) Suggest reasons for constructing a portfolio with these characteristics. A delta-neutral portfolio has a gamma of -40 and a vega of -60. Two additional options are available in the market. One has a delta of 0.6, gamma of 0.5 and vega of 1.5, while the other has a delta of 0.5, gamma of 0.8 and vega of 1.2. (a) What positions in these new options should be taken to make the resulting portfolio gamma-vega -neutral? (b) What would be the delta of the new portfolio incorporating these options? (C) Suggest reasons for constructing a portfolio with these characteristics