An options portfolio consists of the following positions:1.Call:Position=-1000,Delta =0.50,Gamma=2.2,Vega=1.82.Call:Position =-500,Delta =0.80,Gamma=0.6,Vega=0.23.Put:Position =-2000,Delta =-0.40,Gamma 1.3,Vega=0.74.Call:Position =-500,Delta=0.70,Gamma =1.8,Vega=1.4A traded option is available with a delta of 0.6,a gamma of 1.5,and a vega of 0.8.What position in the traded option and in sterling would make theportfolio both gamma neutral and delta neutral?Select one:Oa.Long 4,000 traded options and a short position of 1,950 in sterlingOb.Long 5,000 traded options and a short position of 2,550 in sterlingOc.Short 5,000 traded options and a short position of 2,550 in sterlingOd.Short 4,000 traded options and a short position of 1,950 in sterlingThe correct answer is:Long 4,000 traded options and a short position of 1,950 in sterling
