How to make a portfolio Delta & Vega Neutral

[Jami]

Hi Everyone I am a newbie here.
A Little Help please needed to make the portfolio 1) Delta&Gamma Neutral 2) Delta & Vega Neutral
I tried to neutralize by Delta & Gamma (Not sure whether its correct) but cant get my head around Delta and Vega neutrality.

1) Traded Option

Delta Vega Gamma​

0.55 75 1.4​

2)
Delta of P'folio ____Vegaof P'folio _____Theta P'folio ____Gamma P'folio
12.5 ------------265.65 ------- (-375.33) -----------0.234

 

[ShaktiRathore]

just to give u some idea how i would do it , idont know how you would approach such problems see if you find it correct,
let positions be Nc and Np in the tradable call and put options,
for delta neutrality,
0.55Nc-.45Np=12.5
for vega neutrality, vega of call= vega of put
75Nc+75Np=265.65=>Nc+Np=3.542
.55Nc-.45(3.542-Nc)=12.5
=>Nc=1.59+12.5=14.09
Np=-10.552
so short 10.552 puts and long 14.09 calls to keep the portfolio Delta and Vega neutral.

thanks

 

[Jami]

Thank you for your reply
I did get its how solved the equation but practically can you trade 10.5 or 14.09
I mean fractions
To make delta and Gamma Neutral I short sell 17 Calls and sell a 3 stocks @ 202.50 ? is it correct