In this case, can we buy Futures and buy put options (or sell call options)? May be if we get the right strike with right Premium, we will be able to make use of arbitrage opportunity.
However, I have a question here: What will happen if I execute this trade and there is no liquidity of the option I traded? Will the Futures and options get cancelled and everything will be settled in cash? Or will there be any margin/cash required to take delivery?