The S&P 500 spot level is 2,383. The 1-year at-the-money call on is selling at $150. The risk-free rate is 4% and the index pays a dividend yield of 3%. The S&P 500 options are European.

(a) What is the theoretical price of the 1-year at-the-money put price? (3 marks) (b) The 1-year put is selling at $120 on the market, show how you can benefit from this arbitrage opportunity. Show all details. (3 marks)