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Consider the following 4 option portfolios: (1) 1-year 25-delta put - 1-year 25-delta call, (2) 1-year 25-delta call + 2-year 25-delta put, (3) 1-year 75-delta

Consider the following 4 option portfolios:

(1) 1-year 25-delta put - 1-year 25-delta call,

(2) 1-year 25-delta call + 2-year 25-delta put,

(3) 1-year 75-delta call - 2-year 25-delta put,

(4) 2-year 40-delta call + 2-year 50-delta put.

(a) Which option portfolio leads to a delta-neutral position?

(b) Which portfolio leads to the longest delta position?

(c) Which portfolio leads to the shortest delta position?

(d) Which portfolio leads to a vega-neutral position?

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