The current price of a non-dividend-paying stock is 73. The continuously compounded risk- free rate is 4%. The following table has prices and Greeks for nine-month call options on the stock:

a. Estimate the price of the 75-strike call option if the stock price three days from today is 70. b. A portfolio consists of the following: 4 long call options with K=70 3 short call options with K=80 6 long put options with K=75 2 short put options with K=70 N shares of stock Determine the value of N (which can be positive or negative) so that the portfolio is delta neutral.

Strike Price 70 75 80 Option Price 7.00 4.50 2.75 Delta 0.61 0.46 0.33 Gamma .027 .028 .029 Theta (annual) -3.75 -3.65 -3.55