The following information applies to the next three questions.

Stock XYZ is currently selling for $100. The risk free rate is 4.5% and a June 100 call on stock XYZ is selling at 17.80 with a delta equaling 0.6227. You plan to sell 100 contracts of June 100 call on XYZ.

13. In addition to the 100 calls, how many shares of XYZ do you need to buy to be delta neutral?

a. 3,773 shares

b. 6,227 shares

c. 10,000 shares

d. 15,000 shares

14. If the gamma of this June 100 call option is 0.0095. A June 105 call option on this stock XYZ is selling for $15.6929 with a delta of 0.5756 and gamma of 0.0098. We still plan to sell 100 contracts of June 100 call, how many shares of XYZ and number of contracts of June 105 call do we need to use to be delta and gamma neutral?

a. buy 1000 shares and 83contracts of June 105 call

b. sell 1000shares and 83 contracts of June 105 call

c. buy 647 shares and buy 97 contracts of June 105 call

d. sell 647 shares and sell 97 contracts of June 105 call

15. How much is the initial investment?

1. $27,581
2. $38,921
3. $46,372
4. $51,398