Options listed for Krispy Kreme were used in the text as an example of option price estimation

Question:

Options listed for Krispy Kreme were used in the text as an example of option price estimation using implicit variance. The implicit variance from the August 35 option resulted in estimated call prices lower than actual call prices for the August 45 option. Assuming the Black-Scholes OPM is correct, and that all assumptions of the model are met in the marketplace: What hedge (i.e., riskless) can be formed to make arbitrage profits with Krispy Kreme August 45 options?
Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...