A financial institution has the following portfolio of over-the- counter options on sterling: Type Position of Vega of Call Call Put Call -800 -600 -1,500 -700 Delta option 0.40 0.90 -0.30 0.60 of Gamma option 2.0 0.7 1.1 1.9 option 1.9 0.2 0.7 1.3 A traded option is available with a delta of 0.6, a gamma of 2.0, and a vega of 0.8. A second traded option with delta of 0.1, a gamma of 1.0, and a vega of 0.5 is available. What position in the traded options and in sterling would make the portfolio delta, gamma, and vega neutral? (a) What is the lowest delta of a call option on a non-dividend- paying stock when the stock's price equals the strike price? A financial institution has the following portfolio of over-the- counter options on sterling: Type Position of Vega of Call Call Put Call -800 -600 -1,500 -700 Delta option 0.40 0.90 -0.30 0.60 of Gamma option 2.0 0.7 1.1 1.9 option 1.9 0.2 0.7 1.3 A traded option is available with a delta of 0.6, a gamma of 2.0, and a vega of 0.8. A second traded option with delta of 0.1, a gamma of 1.0, and a vega of 0.5 is available. What position in the traded options and in sterling would make the portfolio delta, gamma, and vega neutral? (a) What is the lowest delta of a call option on a non-dividend- paying stock when the stock's price equals the strike price