You find the following information in December 2019. Assume the T-bill maturity and futures delivery are on the same day. Ignore transactions costs.

Treasury Bill

Maturity DTM Bid Asked

Mar 20 90 1.19 1.18

Index Futures

S&P 500 Index (CME) 250 x index, cents per unit

Open High Low Settle

Mar 20 3324 3326 3320 3322

S&P 500 closed at $3329 on the same day.

Suppose that if you buy one unit of S&P 500 index today, you will be entitled to a 2% dividend yield in March. Design a zero net investment arbitrage strategy involving: (1) buying the index for $3329, (2) shorting the futures for no cash now, (3) and borrowing $3329 at the spot rate. Show your profit per one futures contract (250 units of the index).

	a.	$12,395
	b.	$10,114
	c.	$18,948
	d.	$11,639