Question 16 5 points Save Answer The risk-free interest rate is 5% per year and the dividend yield on the SP500 index is 2% per year. This index is currently 1000.00 and the futures price for the contract maturing in 4 months is 1012. Assuming perfect capital markets, what arbitrage, if any, does this create? The arbitrage is to short futures and short shares underlying the index O There is no arbitrage opportunity O The arbitrage is to buy futures and short shares underlying the index The arbitrage is to short futures and buy shares underlying the index O