Q3. Consider the following data: S = 100; r = .08; = .3 on new options: Call 1 K = 100; Call 2 T-t=90 days Price: 6.91 ^: .58 T: .02 K = 90 T-t-180 days 16.33 .78 .0138 A trader just shorted 100 CBOE calls 2. Calculate the number of calls 1 and shares of the underlying stock that the trader must hold in order to create a Delta-Gamma neutral position