1. A financial institution has the following portfolio of options for some underlying asset:

Type Position Delta Gamma

Put +1000 -0.3 1.3 Call -500 0.7 0.2

Call -800 0.4 2.6

1. (a) What position in the underlying asset would make the portfolio delta neutral?

2. (b) Another traded option has a delta of 0.5 and a gamma of -0.4. What positions in this option and

   the underlying asset would make the portfolio both delta and gamma neutral?

3. (c) Why do we want our portfolios to be greek-letter neutral? What does it mean?