ABC is currently trading at $?8 per share. Your previous calculation of the historical volatilitv for ABC indicated an annual standard deviation of return of 2? percent, but examining the implied volatility of several ABC options reveals an increase in annual volatilityr to 32 percent. There are two traded options series that expire in 245 days as show in the following table: DELTA GAMMA The options have $?5 and $80 strike prices respectively. The current 245-da3,r risk-free interest rate is 4.?5 percent per annum, and you hold 2,000 shares of ABC. Construct a portfolio that is DELTA - and GAMMA- neutral using the call options written on ABC. Show all calculations