Consider the following four European options (A, B, C and D) on a stock.

	Delta	Gamma	Vega	Strike price
Call option A	0.6	0.5	0.7	$100
Call option B	0.5	0.7	1.1	$200
Put option C	-0.2	0.9	2.0	$100
Put option D	-0.4	1.0	1.4	$200

A) Use one unit of call option A and X units of put option C to construct a delta-neutral option portfolio. What is X? What are the delta-neutral option portfolios Gamma and Vega?

B) Use call option A and put option C to construct a straddle. What are the straddles Delta, Gamma and Vega?

C) A trader constructs a trading strategy that longs a put option C and shorts a put option D. In what scenario(s) will this trading strategy generate 0 payoff?

D) Explain in detail how to construct a box spread using options A, B, C and D.