A financial institution has the following portfolio of over-the-counter options on Canadian dollar:

Type

Position

Delta of Option

Gamma of Option

Vega of Option

Call

1,100

0.55

2.3

1.7

Call

550

0.82

0.7

0.2

Put

2,100

0.43

1.2

0.8

Call

550

0.71

1.7

1.5

The delta of the portfolio is -543.50, the gamma is -6,370 and the vega is -4,485.

A traded option is available with a delta of 0.6, a gamma of 1.82, and a vega of 0.75.

What position in the traded option and Canadian dollar would make the portfolio both gamma neutral and delta neutral?

1. The investor will have to take a (long/short)position in traded options to make the portfolio gamma-neutral.
2. The amount of traded options that the investor will need to make the portfolio gamma-neutral is
3. The delta of the whole portfolio (including traded options) is
4. The investor will therefore require an additional (long/short)position in Canadian dollars to make the portfolio both gamma and delta neutral.
5. The amount of Canadian dollars required to make the portfolio both gamma and delta neutral is CAD