If you determine that the DAX-30 Index futures is overpriced 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) selling DAX-30 Index futures and buying all the stocks in the DAX-30.

Question

Quizplus · Accepted Answer

To exploit the overpricing of DAX-30 Index futures relative to the spot DAX-30 Index, one would sell the overpriced futures and simultaneously buy the undervalued stocks in the DAX-30 Index. This creates an arbitrage opportunity where the profit is locked in due to the price discrepancy between the futures and the spot market.

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