14 Review Later Investor Centered into the long position of the following variance swap. If in one year the index realized a volatility of 18%, what would be the profit or loss? (Hint: Express the profit or loss in terms of vega notional: P&L/Vega Notional) Variance Swap Trade Date May 1, 2020 Maturity Date May 1, 2021 Underlying S&P SO Index Denominated Currency USD Vega National $250,000 Strike Price 22 Cap Level 2.5x Strike 7.27 Vegas) 3.64 vegas 7.27 vegas 13.64 vegas Page 14 of 20