The theoretical price of a futures contract can be calculated using the cost of carry model (continuous compounding): $F_{theoretical} = S_0 \times e^{rT}$

Given parameters:

• Spot price ($S_0$) = USD 62.57
• Risk-free rate ($r$) = 5% = 0.05
• Time to maturity ($T$) = 6 months = 0.5 years
• Quoted Futures Price ($F_{quoted}$) = USD 65.35

Calculating the theoretical futures price: $F_{theoretical} = 62.57 \times e^{0.05 \times 0.5} = 62.57 \times e^{0.025}$ $F_{theoretical} = 62.57 \times 1.025315 = 64.154$

The arbitrage profit is the difference between the actual quoted market price of the futures contract and the theoretical price: $\text{Arbitrage Profit} = F_{quoted} - F_{theoretical} = 65.35 - 64.154 = 1.196 \approx \text{USD } 1.20$