Question 5 [20 marks] ABC is currently trading at $78 per share. Your previous calculation of the historical volatility for ABC indicated an annual standard deviation of return of 27 percent, but examining the implied volatility of several ABC options reveals an increase in annual volatility to 32 percent. There are two traded options series that expire in 245 days as show in the following table: Call 0.574 0.019 Call Put Put -0.3326 0.0176 0.426 0.019 DELTA 0.6674 GAMMA 0.0176 The options have $75 and $80 strike prices respectively. The current 245-day ABC Construct a portfolio that is DELTA and GAMMA- neutral using the call options interest rate is 4.75 percent per annum, and you hold 2,000 shares of written on ABC. Show all calculations