Answer the following two questions with respect to the table below. A financial institution has the following portfolio of over-the-counter options on a stock: Type Position Delta of Gamma of Vega of Option Option Option Call -1,000 0.50 2.2 1.8 Call -500 0.80 0.6 0.2 Put -2,000 -0.40 1.3 0.7 Call -500 0.70 1.8 1.4 i. A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8. What position in this option and the underlying will make the portfolio delta and gamma neutral? ii. Using the Taylor series expansion provided below, estimate the effect on the value of the portfolio if there is a sudden (instantaneous) shock to the market causing the underlying asset price to decrease by 2 and its volatility to increase by 5%. 102P AP AS + 40 + At + (45)2 + ... as at do 2 as2 Answer the following two questions with respect to the table below. A financial institution has the following portfolio of over-the-counter options on a stock: Type Position Delta of Gamma of Vega of Option Option Option Call -1,000 0.50 2.2 1.8 Call -500 0.80 0.6 0.2 Put -2,000 -0.40 1.3 0.7 Call -500 0.70 1.8 1.4 i. A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8. What position in this option and the underlying will make the portfolio delta and gamma neutral? ii. Using the Taylor series expansion provided below, estimate the effect on the value of the portfolio if there is a sudden (instantaneous) shock to the market causing the underlying asset price to decrease by 2 and its volatility to increase by 5%. 102P AP AS + 40 + At + (45)2 + ... as at do 2 as2