The net profit per share when the futures contract expires

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Reference no: EM131552716

Consider a single-stock futures contract on Apple stock. Suppose that the contract expires before Apple’s next cash dividend. Consider the following scenario: Continuously compounded, annualized risk-free interest rate: r = 5.34%. Current spot price of Apple stock: $535.61 per share. Contract expiration: T = 3 months. Futures price on Apple single-stock futures: $550 per share. An arbitrage opportunity exists. What is the net profit per share when the futures contract expires? Use a strategy that has zero net cash flows today.

Reference no: EM131552716

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