Christine is back-testing the profitability of the at-the-money options strategy based on the total asset growth anomaly. Her analysis as of June 30 suggests that Altria Group (formerly known as Philip Morris Inc.) belongs to the bottom ten percent of non-financial stocks in terms of total asset growth. The table below lists all the call options available for Altria on June 30, all of which would expire on December 18 of the same year. Altria Group (MO) Stock price on June 30: $16.39 Call options expiring Friday, December 18 symbol strike best bid best offer volume open interest MO.LB $ 10.00 $ 6.30 $ 6.50 0 0 MO.LL $ 12.00 $ 4.40 $ 4.45 0 28 MO.LI $ 13.00 $ 3.45 $ 3.50 41 11 MO.LJ $ 14.00 $ 2.59 $ 2.62 11 96 MO.LC $ 15.00 $ 1.80 $ 1.83 8 599 MO.LQ $ 16.00 $ 1.16 $ 1.19 54 2859 MO.LR $ 17.00 $ 0.68 $ 0.71 60 2349 MO.LS $ 18.00 $ 0.36 $ 0.38 82 5750 MO.LT $ 19.00 $ 0.18 $ 0.20 18 2086 MO.LD $ 20.00 $ 0.08 $ 0.09 0 1538 MO.LU $ 21.00 $ 0.03 $ 0.07 0 243 MO.LX $ 22.50 $ 0.01 $ 0.04 0 28 MO.LE $ 25.00 $ 0.02 $ 0.04 0 101 (1) What trade should Christine make? Make sure to specify the details such as option position (long or short), option symbol, strike price, and the cost of investment. (2) It turns out that Altria Group's stock closed at $19.65 on December 18, and the Treasury bill rate is constant at 0.5% per annum. What is Christine's percentage return on investment over the 12-month period after June 30 of the current year? Note that she would keep the option position until maturity and re-invest the balance in the Treasury bill thereafter.