There are arbitrage opportunities. The reasonable price of forward contract is $ 128.94, and the reasonable price of futures contract is $ 13 1. Futures are overvalued and the difference is $2.06. Forward arbitrage can be used. 65438+1At the beginning of October, the stock futures contract was sold at the price of 13 1, and at the same time, the stock was bought in the stock market with a loan of 120, and the interest rate was 12%. After six months, the dividend of 1 USD will be lent at the interest rate of 12%, and after nine months, the dividend of $2 will be lent at the interest rate of 12%. In June 165438+ 10, the stock contract was closed and the stock was sold. At the time of delivery, the futures and spot prices are the same. Let the final delivery price be X yuan, then the net profit = the sum of the proceeds from selling stocks+dividend principal and interest and+futures profit and loss-loan principal and interest, the proceeds from selling stocks are X, and the sum of dividend principal and interest is1* (1+4/12 *12%)+2 * (. Net profit = x+3.06+(131-x)-132 = 2.06 yuan. The profit of arbitrage is the spread, $2.06.

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