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A financial institution has the following portfolio of over-the-counter options on sterling. begin{tabular}{|c|c|c|c|c|} hline Type & Position & Delta of Option & Gamma of Option
A financial institution has the following portfolio of over-the-counter options on sterling. \begin{tabular}{|c|c|c|c|c|} \hline Type & Position & Delta of Option & Gamma of Option & Vega of Option \\ \hline Call & 1,000 & 0.5 & 2.2 & 1.8 \\ \hline Call & 500 & 0.8 & 0.6 & 0.2 \\ \hline Put & 2,000 & 0.40 & 1.3 & 0.7 \\ \hline Call & 500 & 0.70 & 1.8 & 1.4 \\ \hline \end{tabular} A traded option is available with a delta of 0.6,a gamma of 1.5, and a vega of 0.8. A second traded option with a delta of 0.1, a gamma of 0.5, and a vega of 0.6 is available. What is the delta of the portfolio? 450 4,000 0.6 0.1 A financial institution has the following portfolio of over-the-counter options on sterling. A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8. A second traded option with a delta of 0.1, a gamma of 0.5, and a vega of 0.6 is available. 2. What is the gamma of the portfolio? 6,000 4.1 0.8 0.6 A financial institution has the following portfolio of over-the-counter options on sterling. A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8. A second traded option with a delta of 0.1, a gamma of 0.5, and a vega of 0.6 is available. 3. What is the vega of the portfolio? \begin{tabular}{l} 4,000 \\ \hline 5.9 \\ \hline 1.5 \\ \hline 0.5 \end{tabular} A financial institution has the following portfolio of over-the-counter options on sterling. A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8. A second traded option with a delta of 0.1, a gamma of 0.5, and a vega of 0.6 is available. 4. How could the portfolio be made delta, gamma, and vega neutral? Long position in 3,200 of Option 1, a long position in 2,400 in option 2 and, a short position in sterling of 1,710. Short position in 3,200 of Option 1, a short position in 2,400 in option 2 and, a long position in sterling of 1,710. Long position in 3,200 of Option 1, a long position in 2,400 in option 2 and, a Long position in sterling of 1,710. Short position in 3,200 of Option 1, a short position in 2,400 in option 2 and, a short position in sterling of 1,710
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