A trader received the following information regarding a European call option with a stock price of R145, strike price of R150, risk-free rate of 6%, stock price volatility of 25% and time to exercise of 25 weeks. The table gives the delta, gamma, vega, theta and rho for the option for a long position in one option and a short position in 10 000 options.

Single option Short position in 10 000 options Value (R) R12.49 124 900 Delta 0.600 6 000 Gamma 0.015 150 Vega (per %) 0.402 -4 020 Theta (per day) -0.041 410 Rho (per % ) 0.373 -3 730