You undertake to realize this arbitrage profit

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Reference no: EM132057433

It is 30 April, 2018. Options July crude oil expire on 20 June, 2018. July crude oil futures are currently trading at $68.50 /barrel. The interest rate is 2 percernt (annualized). July crude oil calls struck at 67.50 are trading at $2.58/bbl. July crude oil puts struck at 67.50 are trading at $2.00/bbl. Is there an arbitrage opportunity if the options are European? If so, how much money will you make per barrel when exploiting it? What transactions should you undertake to realize this arbitrage profit? Is there an arb opportunity if the options are American?

Reference no: EM132057433

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