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The spot SP500 index is 300.
The futures contract on this index which expires in one year is 310.
The risk-free rate over this period is 5%.
The dividend yield over this period is 3%.
There is an arbitrage.
How would you initiate this arbitrage?
| | | short futures, long stock, borrow money |
| | | short futures, short stock, lend money |
| | | long futures, short stock, lend money |
| | | long futures, long stock, borrow money |
| | | short futures, long stock, lend money |
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