It is mid-June, 2020, and you are managing a portfolio of Japanese stocks that is benchmarked to the Nikkei 225 Index. You are concerned the Japanese stock market is heading for a downward correction and you decide to sell futures contracts on this index. You collect the following information:

a) Using this information, calculate the fair value of the December 2020 Nikkei 225 futures contract.

b) If the actual December 2020 Nikkei 225 futures contract was quoted at JPY 22,350, would you be inclined to buy it or sell it assuming you did not want to hedge? Describe the steps you would take to construct an arbitrage position.