Make portfolio both delta and vega neutral

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Reference no: EM131147725

Suppose that an investor holds $4,000 option that has delta of 0.6 and vega of 1.4. The investor wants to make his portfolio both delta and vega neutral.

Suppose that he wants to use another option to achieve the objectives and suppose that this option has a delta of 0.9 and vega of 1.

What is the required position (a complete answer requires a dollar amount and specifying long or short) in this option and in futures?

Reference no: EM131147725

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