Stock ABC is currently priced at $50. Consider two 6-month options on stock ABC: Option 1: $60-strike call (priced at 30% implied vol). Price works out to $1.27. Delta = +0.23 Option 2: $40-strike put (priced at 40% implied vol). Price works out to $1.56. Delta = -0.18 (Prices and deltas have been calculated via the Black-Scholes model, assuming q=0% and r=0%.) Suppose a trader holds: 100 units of Option 1 and 200 units of Option 2. [a] Explain the statement: Both options are $10 out-of-the-money." [b] What's the market value of the trader's total position? (c) How many shares of ABC should the trader buy (or sell) in order to be delta- neutral? [d] What's the total gamma of her position? Recall the formula for gamma: T(S,T, K,8,9,0) = e-97 SoV2T Stock ABC is currently priced at $50. Consider two 6-month options on stock ABC: Option 1: $60-strike call (priced at 30% implied vol). Price works out to $1.27. Delta = +0.23 Option 2: $40-strike put (priced at 40% implied vol). Price works out to $1.56. Delta = -0.18 (Prices and deltas have been calculated via the Black-Scholes model, assuming q=0% and r=0%.) Suppose a trader holds: 100 units of Option 1 and 200 units of Option 2. [a] Explain the statement: Both options are $10 out-of-the-money." [b] What's the market value of the trader's total position? (c) How many shares of ABC should the trader buy (or sell) in order to be delta- neutral? [d] What's the total gamma of her position? Recall the formula for gamma: T(S,T, K,8,9,0) = e-97 SoV2T