Suppose that stock XYZ is trading at $100. An investor is considering buying the 110 call which is trading at 22% volatility, giving a price of $5.1. According to a vol forecasting model used by the investor this price appears to be cheap. Therefore, the investor decides to buy volatility. Assuming that the investor can trade fractional amounts of stock and that: A = .41 and T = .015 a) Describe the portfolio to be held by the investor. b) If right after inception XYZ trades at $101.5, how would you estimate the investor's P&L? c) With XYZ trading at $101.5 the portfolio is not delta neutral. What trades should the investor do to rebalance the hedge? d) Assume the investor keep the option to maturity. If the realized volatility ends up being 25% how would you estimate the P&L that the investor should have realized? Suppose that stock XYZ is trading at $100. An investor is considering buying the 110 call which is trading at 22% volatility, giving a price of $5.1. According to a vol forecasting model used by the investor this price appears to be cheap. Therefore, the investor decides to buy volatility. Assuming that the investor can trade fractional amounts of stock and that: A = .41 and T = .015 a) Describe the portfolio to be held by the investor. b) If right after inception XYZ trades at $101.5, how would you estimate the investor's P&L? c) With XYZ trading at $101.5 the portfolio is not delta neutral. What trades should the investor do to rebalance the hedge? d) Assume the investor keep the option to maturity. If the realized volatility ends up being 25% how would you estimate the P&L that the investor should have realized