A reversal position [long Call (K, t), short Put (same K, t as Call), short index] in SPX options (assume no dividends, "fair" markets, no transactions costs) (Hint; draw the payoff of the strategy).

a. has a zero Gamma, a zero Delta, a positive Vega

b. has a positive Delta, a positive Theta, a zero Gamma

c. has a zero Delta, a positive Theta, a zero Gamma

d. has a zero Delta, a zero Gamma, a negative Theta