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The current level of the S&P 500 is 1040. The risk-free interest rate per year is 2%. Assume negligible dividends. The 6-month futures contract is

The current level of the S&P 500 is 1040. The risk-free interest rate per year is 2%. Assume negligible dividends. The 6-month futures contract is trading at 1060. (a) Is there an arbitrage opportunity? Briefly explain. If there is an arbitrage opportunity, what strategy would you use to exploit it without using any funds of your own?

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