This thesis explores the possibility of arbitrage opportunities in the KOSPI 200 futures and options markets. Specially, the thesis addresses three issues: first, the ex ante arbitrage profitability. second, the factors that may affect arbitrage profitability. third, the ex ante arbitrage profitability. The results showed that the profitability of long hedge portfolios was about the same as that of short hedge portfolios and the profitability of debit box portfolios was about the same as that of credit box portfolios. As interest rate decreased, the profitability of put call futures parity increased, but the profitability of box spreads decreased. KOSPI200 index, the volatility of underlying asset on the profitability and the time to maturity did not give any significant impact to the arbitrage profitability. The ex ante profitability of arbitrage was substantially lower than the ex post profitability.
