A. You have just underwritten 5 call option contracts with a strike of $70 on a stock that is currently trading at $60. If you would like to have a delta neutral position, what trade do you have to execute? Maturity Strike 9 months 60 9 months 70 9 months 80 Note: the risk-free rate is 3% Price 5.810 2.302 1.418 Volatility 25% 25% 30% B. In 6 months, the price of the underlying stock is now $73. What trade do you have to execute to become delta-neutral again? Assume that volatility remains the same.