Bonus: Spot Futures Arbitrage A stock index has a current value of 1,020. The six month futures contract for the index has a 250 multiplier and the six month risk free rate is 2.4%. The annual stock index dividend yield is 4.5%. What is the no arbitrage futures price F0? a. 1,034.66 b. 1,021.53 c. 1,020.64 d. 1,015.63

7. Futures Contracts Look at the following quote sheet for the CME euro futures contract: Euro (CME) 125,000 S per Open Lo Settle Chg Interest March 1.2587 .2673 1.2572 1.2615 0.0134 152,501 June .2570 1.2660 2547 2591 0.0135 3,193 Open Hi Suppose you sell the March contract at the open. In March you are agreeing to a. deliver 125,000 euros in exchange for receiving S125,000 b. purchase 125,000 euros in exchange for paying S125,000 c. purchase 125,000 euros in exchange for paying S157,337.50 d. deliver 125,000 euros in exchange for receiving S157,337.50