Two different European GE call options are available in the market. Option A has an exercise price of 95$, trades at an implied annual volatility of 30% and costs 3.7521$ per call. Option B has a strike rate of 85$, trades at an implied annual volatility of 20% and costs 7.2748 per call. Both options are based on the same stock which is trading at 90$ and pays no dividends. The annual risk free rate is 5%. Both optoin are in line with a Black Scholes valuation. Use continuous compounding.

1)you believe that all GE call option volatility is going to converge to 25% in the short term. Given this set up a delta neutral stragy using these two options to take advantage of the convergence. Assume you want to trade 1000 Option A.

2) Estimate the profit if the convergence happens immediately and the stock price stays at 90$

3)what is the profit if the stock moves to 89$ or to 90$? How well is the hedge performing