Amy Damian would have short-sold the stocks whose movement closely mirrors the S&P 500 index and taken a long position in S&P 500 futures. This strategy is known as 'index arbitrage' and is used when the futures contracts are trading at a price lower than the current price of the index. The idea behind this strategy is to exploit the price difference between the index and its futures contract. By short-selling the stocks of the index, Amy is betting that the prices of these stocks will fall. At the same time, by taking a long position in the futures contract, she is betting that the price of the futures contract will rise. When the futures contract expires, the price of the futures contract and the index should converge, allowing Amy to profit from the price difference. It's important to note that it's not necessary to short-sell all the stocks in the index. Instead, an investor can short-sell a representative sample of stocks whose price movements closely mirror those of the index. This strategy is often used by institutional investors and hedge funds to exploit pricing inefficiencies in the market.

Choice A is incorrect. Purchasing the stocks whose movement closely mirrors the S&P 500 index and short-selling S&P 500 futures would not yield a profit in this scenario. This is because when futures contracts on the S&P 500 are trading at a lower price than the current index prices, it indicates that market participants expect future prices to be lower than current prices. Therefore, buying stocks and short-selling futures would result in losses if future prices indeed fall.