Should Put/Call Parity result in Zero Return or the Risk-Free Rate?

Sorry in advance if this is a basic question. I'm examining some potential at-the-money put/call arbitrage. What I found surprised me somewhat:

            Bid   Ask    Mid
ATM Call = 3.31 x 3.33 (3.32)
ATM Put  = 2.93 x 2.95 (2.94)


Expiration = ~ 1 Month

Underlying Stock Price = 190.00

The resulting Put/Call Parity return is equal to:

(Sell Call, Buy Put, Buy 100 Shares of Underlying)

$(3.32-2.94) \cdot 100 = \$38$

$\dfrac{\$38}{\$190\cdot100} = 0.2\%$

Annualized Return = $0.2\%\cdot12=2.4\%$

This return is very close to the current stated treasury 'risk-free' rate of 2.48%

I would have expected the return on Put/Call Parity to be zero, however, since the combination of assets is risk-free at that point it would make sense that it pays exactly the risk-free rate.

Is it expected that I should see this risk-free rate of return or should I be seeing zero return?

Is this some other component of return - is this an arbitrage opportunity?

Am I merely seeing an algebraically extracted risk free rate from the put call parity formula?

$C_0+X*e^{-r*t} = P_0+S_0$

$3.32+190*e^{-0.024*(1/12)} = 2.94 + 190 = 192.94$

Thanks for any clarification.

Answer

You should see the risk free rate as the return on the strategy. That’s because you actually have to invest money , namely usd 19000 minus usd 38, for the one month period. Hence, there is no arbitrage in the market data you observe.