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Question 5 Leo marks] ABC is cun'entiv trading at $i'3 per share. (our previous calculation of the historical volatilityr for ABC indicated an annual standard
Question 5 Leo marks] ABC is cun'entiv trading at $i'3 per share. \"(our previous calculation of the historical volatilityr for ABC indicated an annual standard deviation of return of 2? percent, but examining the implied volatilitv of several ABC options reveals an increase in annual volatilitv to 32 percent. There are two traded options series that expire in 245 davs as show in the following table: m _EE_ DELTA D.E?4 -G.3326 0.5?4 D.42Ei GAMMH EDIT-"E D.Dl?l5 [3.019 0.019 The options have $35 and $3Ei strike prices respectivelv. The current 245dav riskfree interest rate is 4.?5 percent per annum, and vou hold LEIGH shares of ABC. Construct a portfolio that is DELTA and GAMMA neutrai using the call options written on ABC. Show ail calculations
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