Please take a look at the attached question regarding forwards and futures.

Question 3 S&P 500 Futures Settlements The spot index value = 1,852.21 SP CME S&P 500 FUTURES SETTLEMENT PRICES AS OF 02/09/16 03:20 PM (CST) MTH/ -STRIKE INT ---- DAILY --- PT ----- PRIOR DAY OPEN HIGH LOW LAST SETT CHGE EST.VOL SETT VOL MAR16 1850.10 126484 JUN16 ---2674 SEP16 1815.00 198 DEC16 ---MAR17 ---JUN17 ---SEP17 ---DEC17 ---DEC18 ---DEC19 ---DEC20 ---TOTAL OPEN INT TOTAL 129356 1862.50 1826.00 1848.50 1848.20 -3.80 7514 1852.00 6264 1853.20B 1818.20A 1836.70A 1839.40 -3.80 263 1843.20 38 1845.60B 1810.60A 1829.10A 1831.80 -3.80 1 1835.60 2 1839.60B 1835.40B 1832.30B 1830.30B 1829.50B 1836.30B ------- 1804.60A 1800.40A 1797.30A 1795.30A 1794.50A 1801.30A ------- 1823.10A 1818.90A 1815.80A 1813.80A 1813.00A 1819.80A ------- 1825.60 1821.40 1818.30 1816.30 1815.50 1822.30 1845.40 1868.50 -4.00 -4.00 -4.00 -4.00 -4.00 -4.00 -4.00 -4.00 EST.VOL 7778 1829.60 1825.40 1822.30 1820.30 1819.50 1826.30 1849.40 1872.50 VOLUME 6304 (a) Calculate the theoretical price for the S&P500 index futures maturing in December 2016. Assume that the dividend yield on the index is 1.5% per year continuously compounded. Use the above quotes to determine whether there is an arbitrage opportunity. If there is an opportunity, show how the arbitrage would be made, using a payoff table. Assume that the futures contract expires at the end of the month, and use a T-bill rate of 0.45% per year continuously compounded. What are the potential problems with the arbitrage