1. Assume a price-weighted index is comprised of two stocks, A and B; the index divisor is 2. Neither stock pays a dividend. On April 4, Stock A is priced at $20 and Stock B is priced at $60. The June futures contract on this index expires on June 15 and is priced at 42 on April 4. Assume that there are 360 days in a year and the current annual interest rate is 10%. What will be your arbitrage profit on the mispricing of the futures contract?

a) $0

b) $2.40

c) $3.60

d) $4.80