This paper investigates the put-call parity (PCP) relation using options on futures on the Standard and Poor's 500 (Samp;P 500) Index using daily closing options and futures prices between 2nd January and 31st December, 2001. Results obtained demonstrate that the inclusion of transaction costs on the model considerably reduces the number of times that a violation of the PCP relation occurs at the same time that it diminishes the magnitude of the distortion. Similarly, the PCP relation applies more accurately to those options that are the nearest to being at-the-money. When deep-out-of-the-money or deep-in-the-money options were used in the tests the number of violations increased. This may be the result of the low liquidity levels of these contracts. Finally, the authors verify in this study that when transaction costs -commision costs and bid-ask spreads on options and on futures- are included in the model, arbitrage opportunities are translated in the possibility of a gain well below $1,000 for an option contract on futures on the Samp;P 500. This amount does not represent an economically significant value, especially if it is considered that other factors such as taxes have not been considered in this paper. These results offer support to the efficient market theory.