FBM KLCI = 1640 points 1650 OKLI call @ = 8 points 1650 OKLI put @ = 3 points Assuming you can long/short the futures index, the risk-free rate of 6% per year and 90-day maturity for the options, determine: (i) Using the put-call parity, examine the nature of mispricing. [7 marks] (ii) Outline the arbitrage strategy and determine the arbitrage profit if you transacted in one contract equivalent. [4 marks] (iii) Graph your arbitrage strategy and the overall position. [10 marks] (iv) Show that your arbitrage strategy is indeed riskless. [6 marks]

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