c) Assuming no additional transaction costs, what percentage arbitrage profit could be generated (Calculate as a percentage of your initial borrowings)?
- On August 16, the spot quotation on the pound was GBP / USD 1.9833 with the September futures contract closing at 1.9843. Yet on the 1st August the pound was valued at around GBP / USD 2.04. What do you think has happened to the price of the September pound futures contract over the month of August? Why?