It is December now. A September futures contract on 10,000 MMBtu of natural gas settled for $2.95 per MMBtu. Assume that the contract has exactly 9 months (0.75 years) to maturity. The spot price is $2.78. Present value of nine months' worth of storage costs is $.05 per MMBtu. The interest rate is 5% annually. Assume convenience yield to be zero. Use continuous compounding, You design the following arbitrage strategy Position Cash Flow,t=0 Cash Flow, in 9 months Short futures 0 Buy spot + Pay storage -(2.78 +0.05) = -2.83 Borrow at risk-free rate +2.83 Total 0 Arbitrage profit = ? Find the arbitrage profit per 10,000 MMBtu. Round to the nearest 100. a. $100 b. $300 c. $400 d. $700 It is December now. A September futures contract on 10,000 MMBtu of natural gas settled for $2.95 per MMBtu. Assume that the contract has exactly 9 months (0.75 years) to maturity. The spot price is $2.78. Present value of nine months' worth of storage costs is $.05 per MMBtu. The interest rate is 5% annually. Assume convenience yield to be zero. Use continuous compounding, You design the following arbitrage strategy Position Cash Flow,t=0 Cash Flow, in 9 months Short futures 0 Buy spot + Pay storage -(2.78 +0.05) = -2.83 Borrow at risk-free rate +2.83 Total 0 Arbitrage profit = ? Find the arbitrage profit per 10,000 MMBtu. Round to the nearest 100. a. $100 b. $300 c. $400 d. $700