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The S&P 500 spot price is 4,157.50. The annual risk-free rate is 3.2% and the annual dividend yield on the S&P 500 Index is 3.9%.

The S&P 500 spot price is 4,157.50. The annual risk-free rate is 3.2% and the annual dividend yield on the S&P 500 Index is 3.9%. What is the 8-month E-mini futures price that satisfies parity?

E-mini S&P 500 Index: price quote is in index value (e.g., 4,145.50); contract size is a $50 multiple of the price quote; margin is 12,650

(Assume all bonds pay semi-annual coupons unless otherwise instructed. Assume all bonds have par values per contract of $1,000.)

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