The one-year gold futures price is $1,239 per ounce. (ie, the futures price of a contract that expires in one year). The spot price is $1132 per ounce. and the continuous risk-free rate is 2.99% per year. Gold storage costs are $2 per ounce. payable in arrears and we assume that gold does not generate income. What is the arbitrage profit per 100 oz. of gold? Ignore transaction costs.

Answer rating: 100% (QA)

To determine if there is an arbitrage opportunity we need to compare the cost of carrying gold for o... View the full answer