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Fill the green box Stock Index Futures Cash & Carry Trade and Fair Value Pricing Today = 1-Feb Index S&P 500 Index Level = 1,282.62

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Stock Index Futures Cash & Carry Trade and Fair Value Pricing Today = 1-Feb Index S&P 500 Index Level = 1,282.62 Dividend Yield = 1.80% Interest Rate = 5.10% Futures Expiration = 17-Mar Futures Price = 1,300.20 Days to Expiration = 44.00 Futures Multiplier = 250.00 Futures Face Value = 320,655.00 Maturity Settlement Price* = 1,325.15 Daycount = Actual/365 * Not known at t=0 CashFlow 320,655.00 -320,655.00 Forward Cash & Carry (Buy Stocks / Sell Future) Step Action 1 Borrow funds equal to face value of 1 futures contract 2 Buy a stock portfolio that replicates the index 3 Sell 1 futures contract Hold position to Settlement 4 Collect dividends 5 Sell portfolio on settlement day 6 Cash Settle future 7 Calculate and pay interest on borrowing 8 Repay the principal 9 Net P/L 10 Annualized Return = ROI = 11 Initial Futures Price That Gives Zero Net P/L

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