Assume that the 6-month S&P500 futures contract settled 1.00% below the index level, the 6-month risk-free rate is 0.50% (annually) and the annual dividend yield on the index is 1.50%. The round trip transactions costs, for arbitrage, are 0.1% of the index. These values imply the following arbitrage strategy

1. short the index, buy futures and borrow funds
2. short the index, buy futures and buy T-bills
3. borrow funds, short the index and sell futures
4. borrow funds, buy the index and sell futures
5. there are no arbitrage opportunities