If you determine that the DAX-30 Index futures is underpriced relative to the spot DAX-30 Index, you could make an arbitrage profit by
A) buying all the stocks in the DAX-30 and selling put options on the DAX-30 Index.
B) selling short all the stocks in the DAX-30 and buying DAX-30 futures.
C) selling all the stocks in the DAX-30 and buying call options on the DAX-30 Index.
D) buying DAX-30 Index futures and selling all the stocks in the DAX-30.
E) None of the options are correct.

Question

Quizplus · Accepted Answer

If the futures are underpriced, you can buy the futures and sell the stocks in the index to lock in the arbitrage profit when the prices converge.

If You Determine That the DAX-30 Index Futures Is Underpriced