题目
The current spot price of cotton is USD 0.7409 per pound. The cost of storing and insuring cotton is USD 0.0042 per pound per month payable at the beginning of every month. The risk-free rate is 5%. A 3-month forward contract trades at USD 0.7415 per pound. If there is an arbitrage opportunity, how would you capitalize on it to make a profit? Assume there are no restrictions on short selling cotton.I Short the futures contractII Borrow at the risk-free rateIII Buy cotton at the spot priceIV Go long in the futures contractV Invest at the risk-free rateVI Sell cotton at the spot price
选项
A.There is no arbitrage opportunity here.
B.The arbitrage opportunity involves I, II, and III.
C.The arbitrage opportunity involves IV, V, and VI.
D.The arbitrage opportunity involves II, IV, and VI.
答案
C
解析
「huixue_img/importSubject/1564169523400151040.jpeg」While the futures price is 0.7415, which is lower than 0.7628, you need to buy the futures, sell cotton spot and invest the funds in a risk-free bond so as to obtain a riskless profit.