Suppose the S & P 500 index is at 315.34. The dividend yield on the...
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Suppose the S & P 500 index is at 315.34. The dividend yield on the index is 2.89% and T-bills yield 8.97%. The S & P 500 index futures contract that calls for delivery in 106 days currently sells for 322.50. What is the fair value of this S & P futures contract? $309.83 $315.34 $320.97 $322.50 How would you take advantage of the price discrepancy? Work out the payoff in worksheet under the following three scenarios: when index equals 300, 350, and 400 the future. How much is your arbitrage profit? $7.16: $716: $7. $7.16: - $7.16: - $ 7.16 $5.63; $5.63: $5.63 -$5.63; -$5.63: -$5.63
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