Arbitrage free option prices: real life example

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

• There must be something wrong with your data. Please specify contract details, futures codes , etc so we can check ? – dm63 May 21 '17 at 2:42
• Yup, that's right. derivatives.euronext.com/fr/products/index-options/PXA-DPAR Gives delayed prices, but I thought if I take tham after closing, it should be up-to date. This is not the case, I just checked with Interactive brokers – dgan May 21 '17 at 20:19
• I don't see any day where the CAC futures closed at 5407 - the June 17 futures never closed above 5357 - the May futures closed near those levels a few days from expiry - but you have a one month expiry. – FinanceGuyThatCantCode May 23 '17 at 19:20