S&P 500 Index is at 2780. A Eu

S&P 500 Index is at 2780. A European June 21, 2020 SPX call
option struck at 2500 is trading at $326.94. An identical put is
trading at $35.15. A T-bill with 200 days to maturity (same time as
option expiration) is quoted at a yield of 2.46. Which of the
following arbitrage strategies will be profitable?

a. Write the call, buy the put, buy the index, borrow at the
risk-free rate

b. Buy the call, write the put, buy the index, borrow at the
risk-free rate

c. Write the call, buy the put, short the index, invest at the
risk-free rate

d. Buy the call, write the put, short the index, invest at the
risk-free rate

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