Thefollowingisasetofprices forstockindex futuresontheS&P500.MaturityFutures pric

Thefollowingisasetofprices
forstockindex
futuresontheS&P500.MaturityFutures priceMarch246.25June247.75Thecurrentleveloftheindexis245.82andthecurrentannualizedT.Billrateis6%.The
annualizeddividendyieldis3%.(TodayisJanuary14.TheMarchfuturesexpireonMarch
18and the June futures on June 17.)(a)Estimatethetheoreticalbasis
andactualbasis
ineachofthesecontracts.(b)Usingoneofthetwocontractssetupanarbitrage.Alsoshowhowthearbitragewillbe
resolvedatexpiration.[Youcanassumethatyoucanlendorborrowattheriskfreerateand
thatyouhavenotransactioncostsormargins.]
(c)Assumethatagoodeconomicreportcomesoutonthewire.Thestockindexgoesupto247.82andtheT.Billratedropsto5%.Assumingarbitragerelationshipsholdandthatthe
dollardividendspaiddonotchangehowmuchwilltheMarch
futuregoupby?