Consider a three-month futures contract on a stock index. Suppose that the present level of the index is 1020, the dividend yield on the index is 1.4%, and the three-month rate of interest is 3%. To keep it simple, assume the futures contract with a single marking-to-market once at the end of the contract. Suppose the observed level of the 3-month index futures is 1,027.40, spot price is $1,020, risk-free rate is 3%, dividend yield is 1.4%. Which of the following is false while availing the arbitrage opportunity? Buy 0.9965 units of the index for $ 1,016.43. O Enter into a short futures position to deliver the index at a futures price of $1,027.40. Lend $1,016.43 for three months at 3%. Reinvest all dividends into buying more of the index