7. December futures on the JSE Industrial 25 index trade at 10 times the index value of 85370.00 . The Industrial 25 index spot value is 83563.60 with an annualised dividend yield of 2.5% and the annualised risk-free rate is 6.5%. Calculate parity value of the futures contract if there are 3 -months until the December contract expires. In addition, determine if the contract is under or overvalued as well as the approximate arbitrage profit per contract. A) 84387 ; Futures contract is overvalued; Arbitrage profit: R10 026 B) 85383 ; Futures contract is undervalued; Arbitrage profit: R130 C) 84387 ; Futures contract is undervalued; Arbitrage profit: - R10 026 D) 93998 ; Futures contract is undervalued; Arbitrage profit: R86 280 E) 86211 ; Futures contract is overvalued; Arbitrage profit: R8 410