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How could the portfolio be made delta

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Problem 1: A portfolio of derivatives on a stock has a delta of -450, gamma of -6000, vega of -4000. Two traded options are available. Option #1: delta of .6, gamma of 1.5, vega of .8. Option #2: delta of .2, gamma of .4, vega of .5. How could the portfolio be made delta, gamma and vega neutral?

A) Long position in 3200 of the first option, long position in 2792 of the second option and a short position of 2060 shares of the stock.
B) Long position in 3256 of the first option, long position in 2790 of the second option and a short position of 2062 shares of the stock.
C) Short position in 3256 of the first option, short position in 2792 of the second option and a long position of 2062 shares of the stock.
D) Long position in 3256 of the first option, long position in 2790 of the second option and a short position of 2060 shares of the stock.

Reference no: EM132970377

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