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Consider the portfolio below. Delta Gamma Vega Portfolio 0 -3,915 -6,180 Option 1 0.7 0.6 0.9 Option 2 0.4 2.4 1.2 Use the information provided

Consider the portfolio below.

	Delta	Gamma	Vega
Portfolio	0	-3,915	-6,180
Option 1	0.7	0.6	0.9
Option 2	0.4	2.4	1.2

Use the information provided to show how the portfolio could be made gamma and vega neutral

[8 marks]

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