Suppose that you purchase the following portfolio of currency options today: A EUR 100m at-the-money EUR call / AUD put option with 1 month maturity. A EUR 100m at-the-money EUR put / AUD call option with 1 month maturity. 1 month interest rates are currently 1%pa in both markets. From today to next week, market volatility, interest rates in both EUR and USD and the spot FX rate are unchanged. Therefore:

Group of answer choices

We cannot make a meaningful prediction about tomorrow's portfolio value based on the information given in the question.

None of the other answers.

The portfolio is expected to gain value because its vega is positive.

The portfolio is expected to lose value because its theta is positive. The portfolio is expected to lose value because its theta is negative.