Consider a single stock futures contract on Apple stock Consider the following scenario Annualized, continuously compounded risk free interest rate for 2 month period r 2 8 Annualized, continuously compounded risk free interest rate for 4 month period r 5 95 Current spot price of Apple stock $572 per share Dividend per share of $0 73 in 2 months Contract expiration T 4 months Futures price on Apple single stock futures $600 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 and zero net cash flows in two months

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Question: Consider a single-stock futures contract on Apple stock. Consider the following scenario: Annualized, continuously compounded risk-free interest rate for 2-month period: r = 2.8%. Annualized,

Consider a single-stock futures contract on Apple stock. Consider the following scenario:

Annualized, continuously compounded risk-free interest rate for 2-month period: r = 2.8%.
Annualized, continuously compounded risk-free interest rate for 4-month period: r = 5.95%.
Current spot price of Apple stock: $572 per share.
Dividend per share of $0.73 in 2 months.
Contract expiration: T = 4 months.
Futures price on Apple single-stock futures: $600 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 and zero net cash flows in two months.

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