Exhibit 21.10 Use the Information Below for the Following Problem(S)

question 49

Multiple Choice

Exhibit 21.10
Use the Information Below for the Following Problem(S)
The S&P 500 stock index is at 1300. The annualized interest rate is 4.0% and the annualized dividend is 2%. You are currently considering purchasing a 2-month futures contract for your portfolio.
-Refer to Exhibit 21.10.If the futures contract was currently available for 1280,indicate the appropriate strategy that would earn an arbitrage profit.

• A) Long futures, and short the index.
• B) Short futures and long the index.
• C) Long futures and long the index.
• D) Short futures and short the index.
• E) None of the above.