Execute the arbitrage strategy with one futures contract

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Reference no: EM132041446

You have the following market data.

The S&P 500 market index currently is 94.07.

The annualized, continuously compounded dividend yield on this index is 3.61%.

The futures contract on this index has an index multiplier of 100.

The annualized, continuously compounded risk-free rate is 2.78%.

The index futures contract that expires in 5 months has a futures price of 84.57.

What is the total net profit if you execute the arbitrage strategy with one futures contract?

Reference no: EM132041446

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