An investor holds a portfolio consisting of three options, two call options and a put option, written on the stock of QDS Corporation with the following characteristics.

(a) Call 1: Position = 100, Delta = 0.8922, Gamma = 0.0169, Theta = -5.55

(b) Call 2: Position = -200, Delta = 0.2678, Gamma = 0.0299, Theta = -3.89

(c) Put 1: Position = 100, Delta = -0.6187, Gamma = 0.0245, Theta = -3.72

The investor wishes to hedge this portfolio of options with two call options written on the stock of QDS Corporation with the following characteristics.

(a) Call A: Delta = 0.5761, Gamma = 0.0356, Theta = -9.72

(b) Call B: Delta = 0.6070, Gamma = 0.0247, Theta = -7.04

How many contracts of the two options, Call A and Call B, must the investor hold to create a portfolio that is delta-neutral and has a Theta of 100?

Select one:

Short 182 contracts of Call A and long 216 contracts of Call B

Short 208 contracts of Call A and long 176 contracts of Call B

Long 216 contracts of Call A and short 182 contracts of Call B

Long 208 contracts of Call A and short 176 contracts of Call B