Question 21 (3 points) An option trader at a major bank thinks that the market will be much more volatile in the next few weeks than what the market is currently pricing, due to the uncertainty regarding the upcoming presidential election, the prospect of the stimulus plan, and the reported uptick in Covid-19 cases in some states and other countries. The trader then uses a modified version of "strangle" option strategy (i.e., long calls and puts at different strike prices and quantities) on the S&P 500 index, using the exchanged traded options that expire in 3 months. Which of the following portfolio setup is likely the best assuming that the trader is correct? A portfolio with low or zero delta, while gamma and vega are positive and high A portfolio with low or zero delta, while gamma and vega are positive and low A portfolio with highly negative delta, while gamma and vega are negative and high A portfolio with high positive delta, while gamma and vega are positive and high