3. You work as a Certified Financial Planner at an American Based Asset Management Company. Aside from managing stock portfolios, the company also does proprietary trading. You now notice the following quotations on your screen:

S&P 500 Index 3-month SIF Rf rate Dividend yield Index multiplier

= 850 points = 846.64 points (maturing 90 days) = 4% = 1.75% (annualized) = $100

Required: a. Proof that arbitrage is possible. b. Assuming the index rise and fall by 20%. Determine the arbitrage profit if the S&P 500 3-month futures price today is quoted at 875 points. c. To what extent is your arbitrage profit dependent on the S&P 500 indexs performance?