I would like to be sure of my correct understanding of some basic principles.
I have following example, data from Euronext:
1 Month maturity, future and options are same day expiry. Strike 5400.
Future price: 5407. Put: 28.8 Call: 20.1
We construct following portfolio: Long Call, Short Put, Short Future. This yields zero underlying exposure, and $+28.8-20.1=+8.7$ index points in cash equivalent. Now whatever the final spot is at maturity date, I am effectively gathering 15.2 index points:
Final spot 5400:+7 on Futures + 8.7 in cash
Final spot at 5447. Call +47, +8.7 in cash, -40 on Futures. etc...
Am I missing something? In school was told this shouldn't happen in real life