A 75-day European Put option, to sell 1 unit of SPY for $3300, costs $51. The rate at which you can borrow or lend is 1.5% a year. Are there any arbitrage opportunities? Justify your answer by suggesting a strategy to take advantage of it, if there is an arbitrage opportunity.

Answer rating: 100% (QA)

Answer A simple strategy would be to buy the call sell the put and buy back the call at ... View the full answer