Question 15 Today (t=0) one party goes short a futures contract and another sells a forward contract on the same commodity. The prices at t = 0, 1, 2, 3 where 3 = T = maturity are OF3 = 100 1 F3 = 140 2F3 = 110 3F3 = 110 Assume that both contracts are held to maturity. Assume the commodity delivered at T = 3 is taken from previously held inventory. Assume that initial margin is met with previously bought T-Bills. The cash flows to the trader in the forward market in periods 0, 1, 2 and 3 are respectively 0, 0, 0 and +110 O None of these are the correct cash flows 0, 0, 0 and +100 +100, +50, -20 and +70 +100, 0, 0 and -100 O Question 16 5 points Save A The risk-free interest rate is 5% per year and the dividend yield on the SP500 index is 2% per year. This index is currently 1000.00 and the futures price for the contract maturing in 4 months is 1012. Assuming perfect capital markets, what arbitrage, if any, does this create? The arbitrage is to short futures and short shares underlying the index There is no arbitrage opportunity The arbitrage is to buy futures and short shares underlying the index The arbitrage is to short futures and buy shares underlying the index