The September Natural Gas (NG) futures price is $4.408/mmBTU. A European put option on September NG futures struck at $4.35 is selling at $0.166. This price is quoted as of 26 August 2018. The option expires on 25 August 2018. The relevant annual interest rate is 1 percent. Identify an arbitrage opportunity.

a). Using put-call parity, decide the European call option value on September NG futures struck at $4.35.

b). If a European call option on September NG struck at $4.35 is currently selling at $0.18. Discuss if there is an arbitrage opportunity. Indicate which option you should buy, which option you should sell, and whether you should buy or sell the futures contract.