An options dealer has the following position in exchange-traded options on ASTON stock. You should assume each option is on one share. += long, - short. Vega Option sensitivities are in respect of a long position. Option Option Option sensitivities type position Delta Gamma Call +4,000 0.65 0.03 Call -2,500 0.75 0.02 Call 0 0.70 0.02 Put +4,000 -0.39 0.02 0.15 0.14 0.12 0.16 The dealer also has a short position of 4,000 shares in ASTON. There are three parts to this question. Required: (a) Determine the delta, gamma and vega of the dealer's overall (i.e. stock and options) position in ASTON. (b) Estimate the impact of a $0.10 fall in the price of ASTON stock on the value of the dealer's overall position in ASTON options and stock. (c) Assume the dealer wishes to make her overall exposure to ASTON delta-neutral and yega- neutral. What additional positions must she take in ASTON stock and the third ASTON call option in the table to achieve delta-neutrality and vega-neutrality? An options dealer has the following position in exchange-traded options on ASTON stock. You should assume each option is on one share. += long, - short. Vega Option sensitivities are in respect of a long position. Option Option Option sensitivities type position Delta Gamma Call +4,000 0.65 0.03 Call -2,500 0.75 0.02 Call 0 0.70 0.02 Put +4,000 -0.39 0.02 0.15 0.14 0.12 0.16 The dealer also has a short position of 4,000 shares in ASTON. There are three parts to this question. Required: (a) Determine the delta, gamma and vega of the dealer's overall (i.e. stock and options) position in ASTON. (b) Estimate the impact of a $0.10 fall in the price of ASTON stock on the value of the dealer's overall position in ASTON options and stock. (c) Assume the dealer wishes to make her overall exposure to ASTON delta-neutral and yega- neutral. What additional positions must she take in ASTON stock and the third ASTON call option in the table to achieve delta-neutrality and vega-neutrality