A fund manager has a well-diversified portfolio worth $50 million with a beta of 1.70. The manager is concerned about the performance of the market over the next three months and plans to use four-month futures contracts on the S&P 500 to hedge the risk. The current level of the index is 3000, one contract is on $50 times the index, the risk-free rate is 1.5% per annum, and the dividend yield on the index is 2% per annum (both are compounded quarterly). Assume that there are no arbitrage opportunities in the market and that a single index model with zero alpha holds for the managers portfolio. Answer the following four questions:

(3 marks) What is the current index futures price?

Select one:

a. 3,011.27

b. 3,015.04

c. 2,996.25

d. 2,995.00

e. None of the above