Option Trader, Part-2. Calculate the portfolio Greeks and construct a delta- gamma neutral portfolio. A financial institution has the following portfolio of over-the-counter options on Euro: Type Position Delta ot Option Gamma of Option Vega of Option Call BOO 0.50 22 LB Call -500 0.70 0.62 05 Put -1000 -0.40 13 0.7 put 500 -0.50 15 1.22 A traded option is available with a delta of 0.75, a gamma of 1.5, and a vega of 0.55. Option Trader, Part-2. What position in the traded option and in Euro would make the portfolio both gamma neutral and delta neutral? Select one: O a. +400 in the traded option; 200 in Euro O b. +900 in the traded option; -200 in Euro OC.-900 in the traded option; +650 in Euro od -600 in the traded option; -800 in Euro Oe+600 in the traded option; -650 in Euro Option Trader, Part-2. Calculate the portfolio Greeks and construct a delta- gamma neutral portfolio. A financial institution has the following portfolio of over-the-counter options on Euro: Type Position Delta ot Option Gamma of Option Vega of Option Call BOO 0.50 22 LB Call -500 0.70 0.62 05 Put -1000 -0.40 13 0.7 put 500 -0.50 15 1.22 A traded option is available with a delta of 0.75, a gamma of 1.5, and a vega of 0.55. Option Trader, Part-2. What position in the traded option and in Euro would make the portfolio both gamma neutral and delta neutral? Select one: O a. +400 in the traded option; 200 in Euro O b. +900 in the traded option; -200 in Euro OC.-900 in the traded option; +650 in Euro od -600 in the traded option; -800 in Euro Oe+600 in the traded option; -650 in Euro