hard · Market Microstructure
The S&P 500 index is at 5,000. The risk-free rate is 5%, the dividend yield is 1.5%, and the futures contract expires in 60 days (T=60/365).
If an arbitrageur sees the futures price at 5,035, and the fair value is calculated as 5,028.83, what is the profit per contract (multiplier = $250)?
- $8,750.00
- $1,250.00
- $35.00
- $1,542.50
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