Suppose the spot price of gold is $1200 per ounce. The futures price for delivery in six months is $1208, while the futures price for delivery in one year is $1214. The interest rate on 6-month loans is 1.00percent (on an annual basis).

d. Suppose the spot price of gold is, instead, $1204 per ounce. Assuming gold can be sold short at a transactions cost of $2.5 per ounce, describe an arbitrage strategy. What are the arbitrage gains, if any?