The annualized dividend yield on the S&P 500 is 1.40%. The continuously compounded interest rate is 6.4%. If the 9-month forward price is $925.28 and the index is priced at 950.46$, what is the profit/loss from a cash and carry strategy?
A. 61.50 gain
B. 25.18 loss
C. 25.18 gain
D. 61.50 loss
Answer:D
The annualized dividend yield on the S&P 500 is 1.40%. The continuously compounded interest rate is 6.4%. If the 9-month forward price is $925.28 and the index is priced at 950.46$, what is the profit/loss from a cash and carry strategy?
A. 61.50 gain B. 25.18 loss C. 25.18 gain D. 61.50 loss