Delta–gamma on a short straddle

On 5 Nov 2026 the Nifty Nov future settled at 24,588.0 and the 23-Nov 24500 call and put at 334.55 and 259.05. Use Black-76 with $r = 5.5\%$ and 18 calendar days to expiry. (a) Back out the two implied volatilities and the per-unit delta and gamma of a short straddle (short one call and one put). (b) For one lot (65), compute the delta–gamma P&L and the full-revaluation P&L for an instantaneous move of −10% and of +5% in the future, holding volatility fixed. (c) Explain the sign of each error using Proposition 14.23.