Assume the effective interest rate is 2%, the S&R 6-month forward price is 1020, and use these premiums for S&R options with 6 months to expiration. Strike Call Put 950 120.405 51.777 1000 93.809 74.201 1020 84.470 84.470 1050 71.802 101.214 1107 51.873 137.167 (a) Verify that you earn the same profit and payoff by (a) shorting the S&R index for $1000 and (b) selling a 1050-strike S&R call, buying a 1050-strike put, and borrowing $1029.41