(REAL DATA EXPERIENCE PROBLEM) This problem asks you to get the recent data, find the theoretical price and compare it to actual futures price (assume all rates are continuously compounded). Assume you want to trade on May 2, 2017 (note this trading day for the price). Look up the closing price of S&P 500 index on the same trading day (e.g., Google Finance, Yahoo Finance). Using the sources below, find the S&P 500 index futures settlement price expiring in December 2017, the maturity (settlement) date for December 2017 contracts, an approximate S&P dividend yield and 3-month riskless interest rates.

http://www.cmegroup.com/trading/equity-index/us-index/sandp-500_quotes_settlements_futures.html

http://www.cmegroup.com/trading/equity-index/us-index/sandp-500_product_calendar_futures.html

http://www.indexarb.com/dividendAnalysis.html

http://www.bloomberg.com/markets/rates-bonds/government-bonds/us/

a) Using all the above information, find the fair (theoretical) futures price.

b) Assuming all your assumptions are accurate, compare the actual futures price and the fair (theoretical) futures price you calculated in part (a), is there any mispricing (arbitrage opportunity)? If yes, what strategy do you need to follow to exploit the mispricing?