The risk-free interest rate is 5% per year and the dividend yield on the S&P500 index is 2% per year. This index is currently 1000.00 and the futures price for the contract maturing in four months is 1012.00. Assuming perfect capital markets, what arbitrage opportunity, if any, does this create?

a) The arbitrage is to short futures and buy shares underlying the index

b) The arbitrage is to buy futures and short shares underlying the index