On July 5, a stock index futures contract with expiration on December 20 settles at 357.24. On the same day, the spot index closes at 361.54. Assume that each index point is worth $1. The risk-free rate of interest is 1.5% per annum and the dividend yield on the spot index is 3.5% per annum (both rates are continuously compounded). Transaction costs are negligible. Then:

a) Go long the futures, short the spot, invest the proceeds and realize an arbitrage profit of $1.00

b) Go short the futures, borrow to long the spot and realize an arbitrage profit of $1.00

c) The futures and the spot are fairly priced and, hence, there is no arbitrage opportunity

d) Go long the futures, short the spot, invest the proceeds and realize an arbitrage profit of $4.30

e) One cannot tell if there is an arbitrage opportunity or not, as we dont know what the spot price of the index will be at the expiration of the futures contract