Published by admin on September 15, 2020 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?