Use the information below to answer the following question. What position in option 1, option 2, and the underlying asset will make the portfolio delta, gamma, and vega neutral?
Delta Gamma Vega
Portfolio 200 -250 -500
Option 1 0.50 0.25 1.00
Option 2 0.20 0.40 0.60
Position in Option 1:______________________
Position in Option 2:______________________
Position in Underlying Asset: ______________________