Question
Consider a single-stock futures contract on Apple stock. Consider the following scenario: Annualized, continuously compounded risk-free interest rate for 2-month period: r = 3.02%. Annualized,
Consider a single-stock futures contract on Apple stock. Consider the following scenario:
Annualized, continuously compounded risk-free interest rate for 2-month period: r = 3.02%.
Annualized, continuously compounded risk-free interest rate for 4-month period: r = 6.62%.
Current spot price of Apple stock: $575 per share.
Dividend per share of $0.52 in 2 months. Contract expiration: T = 4 months.
Futures price on Apple single-stock futures: $600 per share.
An arbitrage opportunity exists. What is the net profit per share when the futures contract expires? Use a strategy that has zero net cash flows today and zero net cash flows in two months. Do not round values at intermediate steps in your calculations. Enter your answer in dollars and cents, but omit the $ symbol and commas. For example, enter $1,234.56 as 1234.56 as your answer.
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