Silicon MicroSystems, Inc. (SMSI) stock is currently selling for $100 and the firm pays no dividends. The stock's volatility is 0.30 and the risk-free rate is 8%. Consider the following 6-month call and put options on SMSI stock (assume that contract size is 1 share): 6. Call 1 Call 2 Call 3 Strike $90 Price $12.817 $6.999 $3.380 Delta Gamma $100$110 0.7690.548 0.333 ma 0.0180.024 0.022 Put 1 90 Put 2 Put 3 110 100 Strike Price $2.485$6.403$12.524 Delta 0.2320.3420.667 Gamma 0.018 0.024 0.022 (a) Suppose you own 1,000 shares of SMSI stock and wish to hedge by making your position delta neutral. What option position would make your portfolio delta-neutral if you use the $90 calls? (b) What option position would make your portfolio delta-neutral if you use the $90 puts? (c) Calculate the gamma of your delta-neutral portfolios in parts (a) and (b). Which hedge, the call or put hedge, is more stable? How would you make your put hedge in part (c) both gamma and delta neutral using the $100 strike call options? (d)