3. A characteristic of stock index futures is a. they have limited risk b. they pay dividends monthly. c. they are settled in cash. d. they have a beta of zero. The following information applies to the next two questions On January 1, you sold one April S&P 500 index futures at a futures price of 420. 4. If on February 1 the April futures price is 430, what would be your profit (loss) if you closed your position (without considering transaction costs)? a. -$3,500 b. -$2,500 c. $2,500 d. $3,500 5. If on the third Friday of April (the settlement date), the S&P 500 index is traded at 380. What would be your total cash settlement? a. -$10,000 b. -$4,000 c. $4,000 d. $10,000 The following information applies to the next two questions. 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. 6. What is the fair value of this S&P futures contract? a. $309.83 b. $315.34 c. $320.97 d. $322.50 7. How would you take advantage of the price discrepancy? Work out the payoff worksheet under the following three scenarios: when index equals 300, 350, and 400 in the future. How much is your arbitrage profit? a. $7.16; $7.16; $7.16 b.-$7.16;-$7.16;-$7.16 c. $5.63; $5.63; $5.63 d. -$5.63; -$5.63;-$5.63