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The S&P500 Index spot price is 1100, risk-free 5%, continuous dividend yield on the index is 2%. Suppose you observe a 6-month futures price of

The S&P500 Index spot price is 1100, risk-free 5%, continuous dividend yield on the index is 2%. Suppose you observe a 6-month futures price of 1120. What arbitrage would you undertake?

1- Buy index and buy futures

2- Buy index and sell futures

3- Sell index and sell futures

4- Sell index and buy futures

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