finance technical assignment

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JPYPart12-1.xls
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Sources data for DC1

Forward Rates Interest rates Futures Options Forecast Forex Rates USD Interest rates
http://www.investing.com/rates-bonds/forward-rates Japanese Yen Futures Settlements http://www.cmegroup.com/trading/fx/g10/japanese-yen_quotes_settlements_options.html
http://www.global-rates.com/interest-rates/libor/libor.aspx http://www.cmegroup.com/trading/fx/g10/japanese-yen_quotes_settlements_futures.html http://www.cmegroup.com/trading/fx/g10/japanese-yen_quotes_settlements_options.html#tradeDate=05/26/2017 http://www.fxstreet.com/rates-charts/usdjpy/forecast http://www.investing.com/currencies/streaming-forex-rates-majors http://www.global-rates.com/interest-rates/libor/american-dollar/american-dollar.aspx
http://www.global-rates.com/interest-rates/libor/japanese-yen/japanese-yen.aspx http://www.cmegroup.com/trading/fx/g10/japanese-yen_quotes_settlements_futures.html#tradeDate=05/26/2017
Name Bid Ask High Low Chg Time  JPY 4/12/19 4/11/19 4/10/19 4/9/19 4/8/19 Japanese Yen Option (American) Settlements  USD 4/12/19 4/11/19 4/10/19 4/9/19 4/8/19
USDJPY TN FWD -0.85 -0.8 -0.85 -0.84 0.04 18:04:00  JPY LIBOR - overnight -0.07567 % -0.07567 % -0.08083 % -0.09267 % -0.09350 % Trade Date:  USD LIBOR - overnight 2.39225 % 2.38850 % 2.38850 % 2.39300 % 2.39175 %
USDJPY SN FWD -0.873 -0.833 -0.85 -0.843 0.002 17:42:00  JPY LIBOR - 1 week -0.07867 % -0.07700 % -0.07767 % -0.09017 % -0.08917 % All market data contained within the CME Group website should be considered as a reference only and should not be used as validation against, nor as a complement to, real-time market data feeds. Type: 1.1226 1.1231 1.1244 1.121 0.0008 0.08% EUR/USD  USD LIBOR - 1 week 2.41175 % 2.40775 % 2.41425 % 2.41213 % 2.41375%
USDJPY SW FWD -6.22 -5.97 -6.04 -5.99 -0.14 18:08:00  JPY LIBOR - 2 weeks - - - - - Month Open High Low Last Change Settle Estimated Volume Prior Day Open Interest Expiration: 111.69 111.72 111.82 111.6 0.06 0.05% USD/JPY  USD LIBOR - 2 weeks - - - - -
USDJPY 2W FWD -18.75 -18.65 -18.7 -18.66 0.04 17:42:00  JPY LIBOR - 1 month -0.10100 % -0.09983 % -0.09383 % -0.10083 % -0.09983 % Last Updated: Friday, 12 Apr 2019 06:00 PM Trade Date: 1.3035 1.304 1.3122 1.2988 -0.004 -0.30% GBP/USD  USD LIBOR - 1 month 2.47738 % 2.47263 % 2.48200 % 2.48400 % 2.48125%
USDJPY 3W FWD -18.5 -18.23 -18.38 -18.65 0.29 18:08:00  JPY LIBOR - 2 months -0.08967 % -0.08383 % -0.07767 % -0.07933 % -0.08167 % About This Report 0.9999 1.0003 1.0013 0.999 0.0005 0.05% USD/CHF  USD LIBOR - 2 months 2.54263 % 2.53675 % 2.54850 % 2.55263 % 2.54763 %
USDJPY 1M FWD -26.37 -26.1 -26.19 -26.57 0.41 18:08:00  JPY LIBOR - 3 months -0.06250 % -0.06167 % -0.06233 % -0.06200 % -0.06117 % 19-Apr 89690 89890 89690 89740 140 89725 1,205 1,322 Strike Type Open High Low Last Change Settle Estimated Volume Prior Day Open Interest 1.3381 1.3385 1.3402 1.3346 0.0025 0.19% USD/CAD  USD LIBOR - 3 months 2.60100 % 2.59675 % 2.60350 % 2.58125 % 2.58400 %
USDJPY 2M FWD -53.55 -53.03 -53.15 -54.08 0.73 18:08:00  JPY LIBOR - 4 months - - - - - 19-May 90000 90100 89965 89980A 140 89925 384 1,106 Last Updated: Monday, 08 Apr 2019 06:00 PM 125.38 125.47 125.54 125.23 0.15 0.12% EUR/JPY  USD LIBOR - 4 months - - - - -
USDJPY 3M FWD -81.5 -80.75 -79.87 -80.98 -0.06 18:04:00  JPY LIBOR - 5 months - - - - - 19-Jun 90025 90350 89985 90185B 145 90165 82,141 165,253 About This Report 0.7105 0.711 0.7131 0.7092 -0.0003 -0.05% AUD/USD  USD LIBOR - 5 months - - - - -
USDJPY 4M FWD -108.83 -108.03 -107.6 -108.03 -0.8 18:08:00  JPY LIBOR - 6 months 0.00433 % 0.00650 % 0.00700 % 0.00750 % 0.00550 % JLY 19 - 90480B - 90440A 145 90375 0 105 7450 Call - 15.830B - - 0.15 15.66 0 0 0.6731 0.6735 0.6766 0.6719 -0.0018 -0.27% NZD/USD  USD LIBOR - 6 months 2.63775 % 2.63125 % 2.62700 % 2.62850 % 2.63163 %
USDJPY 5M FWD -134.28 -133.28 -132.98 -134.83 1.47 18:08:00  JPY LIBOR - 7 months - - - - - 19-Sep 90800 90950 90800 90810A 150 90815 161 314 7500 Call - 15.330B - - 0.15 15.16 0 0 0.861 0.8616 0.8638 0.8558 0.0034 0.40% EUR/GBP  USD LIBOR - 7 months - - - - -
USDJPY 6M FWD -161.21 -159.17 -157.93 -160.69 0.41 18:08:00  JPY LIBOR - 8 months - - - - - 19-Dec 91525 91525 91470 91475 155 91455 28 327 7550 Call - 14.830B - - 0.15 14.66 0 0  USD LIBOR - 8 months - - - - -
USDJPY 7M FWD -189.3 -188.7 -189.07 -188.8 0.29 17:42:00  JPY LIBOR - 9 months - - - - - 20-Mar - - - - 150 92140 3 92 7600 Call - 14.330B - - 0.15 14.16 0 0  USD LIBOR - 9 months - - - - -
USDJPY 8M FWD -214.38 -212.14 -212.64 -212.14 -1.18 18:08:00  JPY LIBOR - 10 months - - - - - 20-Jun - 92725B - 92725B 170 92800 0 1 7650 Call - 13.830B - - 0.15 13.66 0 0  USD LIBOR - 10 months - - - - -
USDJPY 9M FWD -248.25 -246.25 -246.64 -246.5 -0.25 18:04:00  JPY LIBOR - 11 months - - - - - 20-Sep - - - - 175 93440 0 2 7700 Call - 13.330B - - 0.15 13.16 0 0  USD LIBOR - 11 months - - - - -
USDJPY 10M FWD -276.87 -271.87 -273.5 -273.65 -1.35 17:46:00  JPY LIBOR - 12 months 0.08833 % 0.08917 % 0.08967 % 0.09133 % 0.09283 % 20-Dec - - - - 190 94095 0 0 7750 Call - 12.830B - - 0.15 12.66 0 0  USD LIBOR - 12 months 2.74838 % 2.73413 % 2.74013 % 2.75413 % 2.74988 %
USDJPY 11M FWD -294.12 -291.72 -292.22 -295.92 3.57 18:08:00 21-Mar - - - - 195 94755 0 0 7800 Call - 12.330B - - 0.15 12.16 0 0
USDJPY 1Y FWD -325.25 -322.75 -322.75 -323.09 -0.7 18:04:00 CAD and AUD libor rates are no longer available 21-Jun - - - - 205 95420 0 0 7850 Call - 11.830B - - 0.14 11.66 0 0  JPY 4/12/19 4/11/19 4/10/19 4/9/19 4/8/19
USDJPY 15M FWD -401.31 -396.88 -399.14 -399.09 -0.65 16:00:00 21-Sep - - - - 205 96090 0 0 7900 Call - 11.330B - - 0.14 11.16 0 0  JPY LIBOR - overnight -0.07567 % -0.07567 % -0.08083 % -0.09267 % -0.09350 %
USDJPY 21M FWD -560.17 -552.56 -554.75 -553.05 -2.49 16:00:00 For CAD Please use 3M rate from this source 21-Dec - - - - 205 96765 0 0 7950 Call - 10.830B - - 0.14 10.66 0 0  JPY LIBOR - 1 week -0.07867 % -0.07700 % -0.07767 % -0.09017 % -0.08917%
USDJPY 2Y FWD -641.19 -611.19 -629.08 -624.24 -11.27 16:10:00 http://www.tradingeconomics.com/canada/interbank-rate 22-Mar - - - - 210 97455 0 0 8000 Call - 10.330B - - 0.14 10.16 0 0  JPY LIBOR - 2 weeks - - - - -
USDJPY 3Y FWD -930.2 -913.2 -929.8 -913.2 -4.9 6:20:00 22-Jun - - - - 215 98155 0 0 8050 Call - 9.830B - - 0.14 9.66 0 0  JPY LIBOR - 1 month -0.10100 % -0.09983 % -0.09383 % -0.10083 % -0.09983 %
USDJPY 4Y FWD -1239.4301 -1194.4301 -1232.2 -1202.4 -0.03 9:00:00 For AUD, please use the 3M rate from this source 22-Sep - - - - 225 98920 0 0 8100 Call - 9.330B - - 0.14 9.16 0 0  JPY LIBOR - 2 months -0.08967 % -0.08383 % -0.07767 % -0.07933 % -0.08167 %
USDJPY 5Y FWD -1536 -1496 -1535.7 -1497.1 -14 14:36:00 http://www.tradingeconomics.com/australia/interbank-rate 22-Dec - - - - 225 99640 0 0 8150 Call - 8.830B - - 0.14 8.66 0 0  JPY LIBOR - 3 months -0.06250 % -0.06167 % -0.06233 % -0.06200 % -0.06117 %
USDJPY 6Y FWD -1804 -1746 0 0 -21 4-Dec 23-Mar - - - - 225 100310 0 0 8200 Call - 8.330B - - 0.14 8.16 0 0  JPY LIBOR - 4 months - - - - -
USDJPY 7Y FWD -2171.1299 -2021.13 -2171.1299 -2021.13 -0.78 9:00:00 23-Jun - - - - 235 101110 0 0 8250 Call - 7.830B - - 0.14 7.66 0 0  JPY LIBOR - 5 months - - - - -
USDJPY 8Y FWD -2377 -2296 0 0 -24 4-Dec 23-Sep - - - - 235 101860 0 0 8300 Call - 7.330B - - 0.14 7.16 0 0  JPY LIBOR - 6 months 0.00433 % 0.00650 % 0.00700 % 0.00750 % 0.00550 %
USDJPY 9Y FWD -2647 -2555 0 0 -24 4-Dec 23-Dec - - - - 240 102625 0 0 8350 Call - 6.830B - - 0.14 6.66 0 0  JPY LIBOR - 7 months - - - - -
USDJPY 10Y FWD -2902 -2800 0 0 -26 4-Dec 24-Mar - - - - 245 103400 0 0 8400 Call - 6.330B - - 0.14 6.16 0 0  JPY LIBOR - 8 months - - - - -
USDJPY 12Y FWD -3611 -3486 -3548.5 -3548.5 0 4-Nov Total 83,922 168,522 8450 Call - 5.830B - - 0.14 5.66 0 0  JPY LIBOR - 9 months - - - - -
USDJPY 15Y FWD -4196 -4056 -4126 -4126 0 4-Nov Total 127,905 216,300 8500 Call - 5.330B - - 0.14 5.16 0 0  JPY LIBOR - 10 months - - - - -
USDJPY 20Y FWD -4942 -4792 -4867 -4867 0 4-Nov 8550 Call - 4.830B - - 0.14 4.66 0 0  JPY LIBOR - 11 months - - - - -
USDJPY 30Y FWD -5683.8101 -5559.4502 -5621.6299 -5621.6299 0 4-Nov 8600 Call - 4.330B - - 0.14 4.16 0 0  JPY LIBOR - 12 months 0.08833 % 0.08917 % 0.08967 % 0.09133 % 0.09283 %
8650 Call - 3.830B - - 0.14 3.66 0 0
8700 Call - 3.330B - - 0.14 3.16 0 0
8750 Call - 2.830B - - 0.14 2.66 0 1
8800 Call - 2.330B - - 0.14 2.16 0 0
8825 Call - 2.080B - - 0.14 1.91 0 0
8850 Call - 1.830B - - 0.15 1.67 0 1
8875 Call - 1.580B - - 0.15 1.42 0 1
8900 Call - 1.330B - - 0.14 1.17 0 1
8925 Call - 1.090B - - 0.13 0.92 0 0
8950 Call - .840B - - 0.12 0.69 0 1
8975 Call - .610B - - 0.09 0.47 0 51
9000 Call 0.21 .410B 0.2 - 0.07 0.3 2 202
9025 Call 0.13 .260B 0.12 - 0.03 0.17 58 112
9050 Call 0.1 .160B 0.1 - 0.01 0.1 203 255
9075 Call 0.05 .100B 0.05 - UNCH 0.06 36 13
9100 Call 0.045 0.06 0.045 - 0.005 0.045 230 645
9125 Call 0.03 .040B 0.03 - 0.005 0.035 11 67
9150 Call 0.025 0.03 0.025 - 0.005 0.03 54 779
9175 Call 0.025 0.025 0.025 - 0.005 0.025 50 29
9200 Call 0.02 0.02 0.02 - 0.005 0.02 6 814
9225 Call 0.015 0.015 0.015 - 0.005 0.015 48 305
9250 Call 0.01 0.01 0.01 - UNCH 0.01 10 327
9275 Call 0.01 0.01 0.01 - 0.005 0.01 219 20
9300 Call - - - - UNCH 0.005 0 273
itm 9350 Call - - - - UNCH 0.005 0 61
9400 Call - - - - UNCH CAB 0 23
atm 9450 Call - - - - UNCH CAB 0 12
9500 Call - - - - UNCH CAB 0 2
out 9550 Call - - - - UNCH CAB 0 32
9600 Call - - - - UNCH CAB 0 8
9650 Call - - - - UNCH CAB 0 0
9700 Call - - - - UNCH CAB 0 0
9750 Call - - - - UNCH CAB 0 4
9800 Call - - - - UNCH CAB 0 0
9850 Call - - - - UNCH CAB 0 6
9900 Call - - - - UNCH CAB 0 0
9950 Call - - - - UNCH CAB 0 0
10000 Call - - - - UNCH CAB 0 16
10050 Call - - - - UNCH CAB 0 5
10100 Call - - - - UNCH CAB 0 6
10150 Call - - - - UNCH CAB 0 0
10200 Call - - - - UNCH CAB 0 0
10250 Call - - - - UNCH CAB 0 0
10300 Call - - - - UNCH CAB 0 0
10350 Call - - - - UNCH CAB 0 0
10400 Call - - - - UNCH CAB 0 0
10450 Call - - - - UNCH CAB 0 0
10500 Call - - - - UNCH CAB 0 0
10550 Call - - - - UNCH CAB 0 0
10600 Call - - - - UNCH CAB 0 0
10650 Call - - - - UNCH CAB 0 0
10700 Call - - - - UNCH CAB 0 0
10750 Call - - - - UNCH CAB 0 0
10800 Call - - - - UNCH CAB 0 0
10850 Call - - - - UNCH CAB 0 0
10900 Call - - - - UNCH CAB 0 0
10950 Call - - - - UNCH CAB 0 0
11000 Call - - - - UNCH CAB 0 0
7450 Put - - - - UNCH CAB 0 0
7500 Put - - - - UNCH CAB 0 0
7550 Put - - - - UNCH CAB 0 0
7600 Put - - - - UNCH CAB 0 0
7650 Put - - - - UNCH CAB 0 0
7700 Put - - - - UNCH CAB 0 0
7750 Put - - - - UNCH CAB 0 0
7800 Put - - - - UNCH CAB 0 0
7850 Put - - - - UNCH CAB 0 0
7900 Put - - - - UNCH CAB 0 0
7950 Put - - - - UNCH CAB 0 0
8000 Put - - - - UNCH CAB 0 0
8050 Put - - - - UNCH CAB 0 0
8100 Put - - - - UNCH CAB 0 0
8150 Put - - - - UNCH CAB 0 0
8200 Put - - - - UNCH CAB 0 0
8250 Put - - - - UNCH CAB 0 0
8300 Put - - - - UNCH CAB 0 0
8350 Put - - - - UNCH CAB 0 0
8400 Put - - - - UNCH CAB 0 0
8450 Put - - - - UNCH CAB 0 0
8500 Put - - - - UNCH CAB 0 0
8550 Put - - - - UNCH CAB 0 0
8600 Put - - - - UNCH CAB 0 0
8650 Put - - - - UNCH CAB 0 0
8700 Put - - - - UNCH CAB 0 0
8750 Put - - - - UNCH CAB 0 0
8800 Put - - - - UNCH CAB 0 21
8825 Put - - - - UNCH CAB 0 0
8850 Put - - - - UNCH CAB 0 54
8875 Put - - - - UNCH CAB 0 15
8900 Put - - - - -0.005 CAB 0 586
8925 Put 0.005 0.005 0.005 - -0.01 0.005 9 750
8950 Put - - .015A - -0.025 0.02 0 699
8975 Put 0.05 0.05 0.035 - -0.05 0.06 37 306
9000 Put 0.12 .130B .090A - -0.08 0.13 25 287
9025 Put 0.24 .260B .180A - -0.12 0.25 12 224
9050 Put - - .320A - -0.14 0.43 0 192
9075 Put - - .520A - -0.14 0.65 0 0
9100 Put - - .730A - -0.14 0.88 0 209
9125 Put - - .960A - -0.14 1.12 0 0
9150 Put - - 1.200A - -0.14 1.36 0 54
9175 Put - - 1.450A - -0.14 1.61 0 0
9200 Put - - 1.690A - -0.15 1.85 0 0
9225 Put - - 1.940A - -0.14 2.1 0 0
9250 Put - - 2.180A - -0.14 2.35 0 0
9275 Put - - 2.430A - -0.15 2.59 0 1
9300 Put - - 2.670A - -0.14 2.84 0 1
9350 Put - - 3.170A - -0.14 3.34 0 0
9400 Put - - 3.670A - -0.15 3.83 0 0
9450 Put - - 4.170A - -0.15 4.33 0 0
9500 Put - - 4.670A - -0.15 4.83 0 1
9550 Put - - 5.170A - -0.15 5.33 0 0
9600 Put - - 5.670A - -0.15 5.83 0 2
9650 Put - - 6.170A - -0.15 6.33 0 0
9700 Put - - 6.670A - -0.15 6.83 0 0
9750 Put - - 7.170A - -0.15 7.33 0 1
9800 Put - - 7.670A - -0.15 7.83 0 0
9850 Put - - 8.170A - -0.15 8.33 0 2
9900 Put - - 8.670A - -0.15 8.83 0 0
9950 Put - - 9.170A - -0.15 9.33 0 1
10000 Put - - 9.670A - -0.15 9.83 0 0
10050 Put - - 10.170A - -0.15 10.33 0 0
10100 Put - - 10.670A - -0.15 10.83 0 0
10150 Put - - 11.170A - -0.15 11.33 0 0
10200 Put - - 11.670A - -0.14 11.83 0 0
10250 Put - - 12.170A - -0.14 12.33 0 0
10300 Put - - 12.670A - -0.14 12.83 0 0
10350 Put - - 13.170A - -0.14 13.33 0 0
10400 Put - - 13.670A - -0.14 13.83 0 0
10450 Put - - 14.170A - -0.14 14.33 0 0
10500 Put - - 14.670A - -0.14 14.83 0 0
10550 Put - - 15.170A - -0.14 15.33 0 0
10600 Put - - 15.670A - -0.14 15.83 0 0
10650 Put - - 16.170A - -0.14 16.33 0 0
10700 Put - - 16.670A - -0.14 16.83 0 0
10750 Put - - 17.160A - -0.14 17.33 0 0
10800 Put - - 17.660A - -0.14 17.83 0 0
10850 Put - - 18.160A - -0.14 18.33 0 0
10900 Put - - 18.660A - -0.14 18.83 0 0
10950 Put - - 19.160A - -0.14 19.33 0 0
11000 Put - - 19.660A - -0.14 19.83 0 0
Total 1,010 7,478
9550 Put - - - - -0.36 5.64 0 133
9600 Put - - - - -0.35 6.14 0 21
9650 Put - - - - -0.35 6.64 0 28
9700 Put - - - - -0.35 7.14 0 14
9750 Put - - - - -0.36 7.63 0 15
9800 Put - - - - -0.36 8.13 0 58
9850 Put - - - - -0.36 8.63 0 45
9900 Put - - - - -0.36 9.13 0 30
9950 Put - - - - -0.36 9.63 0 38
10000 Put - - - - -0.36 10.13 0 209
10050 Put - - - - -0.36 10.63 0 14
10100 Put - - - - -0.36 11.13 0 45
10150 Put - - - - -0.36 11.63 0 82
10200 Put - - - - -0.36 12.13 0 182
10250 Put - - - - -0.36 12.63 0 25
10300 Put - - - - -0.36 13.13 0 38
10350 Put - - - - -0.36 13.63 0 24
10400 Put - - - - -0.36 14.13 0 80
10450 Put - - - - -0.36 14.63 0 104
10500 Put - - - - -0.36 15.13 0 619
10550 Put - - - - -0.36 15.63 0 0
10600 Put - - - - -0.36 16.13 0 3
10650 Put - - - - -0.36 16.63 0 0
10700 Put - - - - -0.36 17.13 0 3
10750 Put - - - - -0.36 17.63 0 3
10800 Put - - - - -0.36 18.13 0 3
10850 Put - - - - -0.36 18.63 0 7
10900 Put - - - - -0.36 19.13 0 3
10950 Put - - - - -0.36 19.63 0 4
11000 Put - - - - -0.36 20.13 0 4
11050 Put - - - - -0.36 20.63 0 7
11100 Put - - - - -0.36 21.13 0 8
11150 Put - - - - -0.36 21.63 0 4
11200 Put - - - - -0.36 22.13 0 3
11250 Put - - - - -0.36 22.63 0 0
11300 Put - - - - -0.36 23.13 0 4
11350 Put - - - - -0.36 23.63 0 4
11400 Put - - - - -0.36 24.13 0 4
11450 Put - - - - -0.36 24.63 0 8
11500 Put - - - - -0.36 25.13 0 8
11550 Put - - - - -0.36 25.63 0 14
11600 Put - - - - -0.36 26.13 0 20
11650 Put - - - - -0.36 26.63 0 14
Total 1,745 81,928

I. Initial data DC1

Date when hedge is initiated
Students' names Shayla Materre/Maureen Walston Friday, April 05, 2019
1. Currency to hedge Japanese Yen
1a Currency pair formed with the US dollar (as seen in OANDA, FXCM) USD/JPY
1b Date when hedge (trading) will be closed and all the calculations done Friday, April 12, 2019
1c Is this a direct quote in the spot market? (Y/N) N
2. Exchange rate of the currency as typically quoted in FX markets. Use the SPOT price from the Investing.com site BID ASK
111.69 111.72
2a Express the price as a direct quote (value of one unit of that currency in dollars) 0.0089509 0.0089534
3. Three or six-month future rate as of this date (use whatever period covers the second data collection period) Report the settlment price reported on the CME Group website 90165
Expiration month of future contract June-19
. Specify the size of the future (option) contracts 12500000
4. Forward points observed on this date. Use the Investing.com website for information. Select data for 1W (summer) or the period specified for the exercise. Students doing USDJPY must use an appropriate factor to convert pips. BID ASK
-6.22 -5.97
Horizon for Fwd quotes 1 week
5. Use the CME group website to obtain option price data. Week 2 APR
Specify the expiration month on the CME options that will cover the period you are interested in hedging
Strike Premium
5a. Choose a call option that is in the money and obtain its premium 8900 1.17
5b. Find the call option that is at the money and obtain its premium 9000 0.3
5c. Choose a call option that is out the money and obtain its premium 9100 0.045
6. Use the CME group website to obtain put option price data.
Use the same expiration month you chose for call options Strike Premium
6a. Choose a put option that is in the money and obtain its premium 8900 0
6b. Find the put option that is at the money and obtain its premium 9000 0.13
6c. Choose a put option that is out the money and obtain its premium 9100 0.88
7. Use the Global Rates website to identify the LIBOR rates LIBOR rates
USD rate for the horizon selected 2.41375%
Foreign currency rate for the horizon selected -0.08917%
http://www.cmegroup.com/trading/fx/g10/japanese-yen_contract_specifications.html
garzax: Calculated cell If direct quote, then it's same as 2. If indirect, then must calculate the inverse.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Look in Contract Specifications
Students must state the date when they will "close" the hedges/trades in this theoretical exercise.
Garza-Gomez, Xavier: The distance between strike prices must be at least 100 pips
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.

Sources data for DC2

Futures Options
Japanese Yen Futures Settlements http://www.cmegroup.com/trading/fx/g10/japanese-yen_quotes_settlements_options.html Forex Rates http://www.investing.com/currencies/streaming-forex-rates-majors
http://www.cmegroup.com/trading/fx/g10/japanese-yen_quotes_settlements_futures.html April 12 after market close
Japanese Yen Option (American) Settlements Bid Ask High Low Chg Chg % Time
Trade Date: Type: EUR/USD 1.1303 1.1308 1.1325 1.1253 0.0056 0.49% 12-Apr
All market data contained within the CME Group website should be considered as a reference only and should not be used as validation against, nor as a complement to, real-time market data feeds. Expiration: USD/JPY 112.01 112.04 112.1 111.59 0.38 0.34% 12-Apr
Month Open High Low Last Change Settle Estimated Volume Prior Day Open Interest Trade Date: GBP/USD 1.3077 1.3081 1.3133 1.3051 0.0025 0.19% 12-Apr
Last Updated: Friday, 12 Apr 2019 06:00 PM USD/CHF 1.0022 1.0026 1.0036 0.9997 -0.0006 -0.06% 12-Apr
About This Report USD/CAD 1.3326 1.333 1.339 1.3313 -0.0056 -0.42% 12-Apr
19-Apr 89580 89580 89240 89270 -345 89230 162 1,311 Strike Type Open High Low Last Change Settle Estimated Volume Prior Day Open Interest EUR/JPY 126.54 126.59 126.78 125.64 0.95 0.76% 12-Apr
19-May 89700 89770B 89450 89450 -330 89425 690 1,073 Last Updated: Friday, 12 Apr 2019 06:00 PM AUD/USD 0.7171 0.7173 0.7193 0.7116 0.0049 0.69% 12-Apr
19-Jun 90010 90065 89655 89725 -330 89665 130,380 172,691 About This Report NZD/USD 0.676 0.6764 0.6782 0.6714 0.0036 0.54% 12-Apr
JLY 19 - 90220B 89960A 89960A -330 89875 0 90 7450 Call - 15.520B 15.180A - -0.33 15.16 0 0
19-Sep 90580 90590 90315 90320B -330 90320 32 592 7500 Call - 15.020B 14.680A - -0.33 14.66 0 0
19-Dec - - - - -330 90965 0 287 7550 Call - 14.520B 14.180A - -0.33 14.16 0 0
20-Mar - - - - -315 91660 9 105 7600 Call - 14.020B 13.680A - -0.33 13.66 0 0
20-Jun - - 92440A 92440A -315 92305 0 1 7650 Call - 13.520B 13.180A - -0.33 13.16 0 1
20-Sep - - - - -305 92950 0 2 7700 Call - 13.020B 12.680A - -0.33 12.66 0 2
20-Dec - - - - -295 93605 0 0 7750 Call - 12.520B 12.180A - -0.33 12.16 0 0
21-Mar - - - - -285 94270 0 0 7800 Call - 12.020B 11.680A - -0.33 11.66 0 0
21-Jun - - - - -275 94935 0 0 7850 Call - 11.520B 11.180A - -0.33 11.16 0 0
21-Sep - - - - -270 95600 0 0 7900 Call - 11.020B 10.680A - -0.33 10.66 0 0
21-Dec - - - - -260 96280 0 0 7950 Call - 10.520B 10.180A - -0.33 10.16 0 0
22-Mar - - - - -255 96965 0 0 8000 Call - 10.020B 9.680A - -0.33 9.66 0 0
22-Jun - - - - -250 97660 0 0 8050 Call - 9.520B 9.180A - -0.33 9.16 0 0
22-Sep - - - - -245 98420 0 0 8100 Call - 9.020B 8.680A - -0.33 8.66 0 0
22-Dec - - - - -230 99140 0 0 8150 Call - 8.520B 8.180A - -0.33 8.16 0 0
23-Mar - - - - -225 99810 0 0 8200 Call - 8.020B 7.680A - -0.33 7.66 0 0
23-Jun - - - - -220 100605 0 0 8250 Call - 7.520B 7.180A - -0.32 7.17 0 0
23-Sep - - - - -210 101355 0 0 8300 Call - 7.020B 6.680A - -0.32 6.67 0 0
23-Dec - - - - -200 102115 0 0 8350 Call - 6.520B 6.180A - -0.33 6.17 0 0
24-Mar - - - - -195 102885 0 0 8400 Call - 6.020B 5.680A - -0.33 5.67 0 0
Total 131,273 176,152 8450 Call - 5.520B 5.180A - -0.33 5.17 0 0
Total 180,830 213,208 8500 Call - 5.020B 4.680A - -0.33 4.67 0 0
8550 Call - 4.520B 4.180A - -0.33 4.17 0 0
8600 Call - 4.020B 3.680A - -0.33 3.67 0 0
8650 Call - 3.520B 3.180A - -0.33 3.17 0 0
8700 Call - 3.020B 2.680A - -0.33 2.67 0 0
8750 Call - 2.520B 2.180A - -0.33 2.17 0 1
8800 Call - 2.020B 1.680A - -0.33 1.67 0 0
8825 Call - - 1.430A - -0.33 1.42 0 0
8850 Call - 1.520B 1.180A - -0.33 1.17 0 1
8875 Call - 1.270B .930A - -0.33 0.92 0 1
8900 Call - 1.020B .680A - -0.33 0.67 0 1
8925 Call - .770B .430A - -0.33 0.42 0 0
8950 Call - .520B .180A - -0.33 0.17 0 1
8975 Call 0.1 .280B .005A - -0.27 CAB 108 51
9000 Call 0.1 0.1 .005A - -0.09 CAB 4 213
9025 Call - - .005A - -0.02 CAB 4 140
9050 Call - - - - -0.005 CAB 3 454
9075 Call - - - - UNCH CAB 0 157
9100 Call - - - - UNCH CAB 3 681
9125 Call - - - - UNCH CAB 0 119
9150 Call - - - - UNCH CAB 0 821
9175 Call - - - - UNCH CAB 0 115
9200 Call - - - - UNCH CAB 0 886
9225 Call - - - - UNCH CAB 0 305
9250 Call - - - - UNCH CAB 0 336
9275 Call - - - - UNCH CAB 0 219
9300 Call - - - - UNCH CAB 0 280
9350 Call - - - - UNCH CAB 0 61
9400 Call - - - - UNCH CAB 0 23
9450 Call - - - - UNCH CAB 0 12
9500 Call - - - - UNCH CAB 0 2
9550 Call - - - - UNCH CAB 0 32
9600 Call - - - - UNCH CAB 0 8
9650 Call - - - - UNCH CAB 0 0
9700 Call - - - - UNCH CAB 0 0
9750 Call - - - - UNCH CAB 0 4
9800 Call - - - - UNCH CAB 0 0
9850 Call - - - - UNCH CAB 0 6
9900 Call - - - - UNCH CAB 0 0
9950 Call - - - - UNCH CAB 0 0
10000 Call - - - - UNCH CAB 0 16
10050 Call - - - - UNCH CAB 0 5
10100 Call - - - - UNCH CAB 0 6
10150 Call - - - - UNCH CAB 0 0
10200 Call - - - - UNCH CAB 0 0
10250 Call - - - - UNCH CAB 0 0
10300 Call - - - - UNCH CAB 0 0
10350 Call - - - - UNCH CAB 0 0
10400 Call - - - - UNCH CAB 0 0
10450 Call - - - - UNCH CAB 0 0
10500 Call - - - - UNCH CAB 0 0
10550 Call - - - - UNCH CAB 0 0
10600 Call - - - - UNCH CAB 0 0
10650 Call - - - - UNCH CAB 0 0
10700 Call - - - - UNCH CAB 0 0
10750 Call - - - - UNCH CAB 0 0
10800 Call - - - - UNCH CAB 0 0
10850 Call - - - - UNCH CAB 0 0
10900 Call - - - - UNCH CAB 0 0
10950 Call - - - - UNCH CAB 0 0
11000 Call - - - - UNCH CAB 0 0
7450 Put - - - - UNCH CAB 0 0
7500 Put - - - - UNCH CAB 0 0
7550 Put - - - - UNCH CAB 0 0
7600 Put - - - - UNCH CAB 0 0
7650 Put - - - - UNCH CAB 0 0
7700 Put - - - - UNCH CAB 0 0
7750 Put - - - - UNCH CAB 0 0
7800 Put - - - - UNCH CAB 0 0
7850 Put - - - - UNCH CAB 0 0
7900 Put - - - - UNCH CAB 0 0
7950 Put - - - - UNCH CAB 0 0
8000 Put - - - - UNCH CAB 0 0
8050 Put - - - - UNCH CAB 0 0
8100 Put - - - - UNCH CAB 0 0
8150 Put - - - - UNCH CAB 0 0
8200 Put - - - - UNCH CAB 0 0
8250 Put - - - - UNCH CAB 0 0
8300 Put - - - - UNCH CAB 0 0
8350 Put - - - - UNCH CAB 0 0
8400 Put - - - - UNCH CAB 0 0
8450 Put - - - - UNCH CAB 0 0
8500 Put - - - - UNCH CAB 0 0
8550 Put - - - - UNCH CAB 0 0
8600 Put - - - - UNCH CAB 0 0
8650 Put - - - - UNCH CAB 0 0
8700 Put - - - - UNCH CAB 0 0
8750 Put - - - - UNCH CAB 0 0
8800 Put - - - - UNCH CAB 0 21
8825 Put - - - - UNCH CAB 0 0
8850 Put - - - - UNCH CAB 0 54
8875 Put - - - - UNCH CAB 0 15
8900 Put 0.005 0.005 0.005 - UNCH CAB 1 586
8925 Put - - - - UNCH CAB 0 758
8950 Put 0.01 0.01 0.005 - -0.005 CAB 51 688
8975 Put 0.03 0.07 0.015 - 0.07 0.09 777 1,585
9000 Put 0.08 .320B 0.08 - 0.24 0.34 2 425
9025 Put - .570B .260A - 0.31 0.59 0 271
9050 Put - .820B .490A - 0.33 0.84 0 324
9075 Put - 1.070B .740A - 0.33 1.09 0 3
9100 Put - 1.320B .980A - 0.33 1.34 0 209
9125 Put - 1.570B 1.230A - 0.33 1.59 0 0
9150 Put - 1.820B 1.480A - 0.33 1.84 0 54
9175 Put - 2.070B 1.730A - 0.33 2.09 0 0
9200 Put - 2.320B 1.980A - 0.33 2.34 0 0
9225 Put - 2.570B 2.230A - 0.33 2.59 0 0
9250 Put - 2.820B 2.480A - 0.33 2.84 0 0
9275 Put - 3.070B 2.730A - 0.33 3.09 0 1
9300 Put - 3.320B 2.980A - 0.33 3.34 0 1
9350 Put - 3.820B 3.480A - 0.33 3.84 0 0
9400 Put - 4.320B 3.980A - 0.33 4.34 0 0
9450 Put - 4.820B 4.480A - 0.33 4.84 0 0
9500 Put - 5.320B 4.980A - 0.33 5.34 0 1
9550 Put - 5.820B 5.480A - 0.33 5.84 0 0
9600 Put - 6.320B 5.980A - 0.33 6.34 0 2
9650 Put - 6.820B 6.480A - 0.33 6.84 0 0
9700 Put - 7.320B 6.980A - 0.34 7.34 0 0
9750 Put - 7.820B 7.480A - 0.33 7.83 0 1
9800 Put - 8.320B 7.980A - 0.33 8.33 0 0
9850 Put - 8.820B 8.480A - 0.33 8.83 0 2
9900 Put - 9.320B 8.980A - 0.33 9.33 0 0
9950 Put - 9.820B 9.480A - 0.33 9.83 0 1
10000 Put - 10.320B 9.980A - 0.33 10.33 0 1
10050 Put - 10.820B 10.480A - 0.33 10.83 0 1
10100 Put - 11.320B 10.980A - 0.33 11.33 0 1
10150 Put - 11.820B 11.480A - 0.33 11.83 0 1
10200 Put - 12.320B 11.980A - 0.33 12.33 0 0
10250 Put - 12.820B 12.480A - 0.33 12.83 0 0
10300 Put - 13.320B 12.980A - 0.33 13.33 0 0
10350 Put - 13.820B 13.480A - 0.33 13.83 0 0
10400 Put - 14.320B 13.980A - 0.33 14.33 0 0
10450 Put - 14.820B 14.480A - 0.33 14.83 0 0
10500 Put - 15.320B 14.980A - 0.33 15.33 0 0
10550 Put - 15.820B 15.480A - 0.33 15.83 0 0
10600 Put - 16.320B 15.980A - 0.33 16.33 0 0
10650 Put - 16.820B 16.480A - 0.33 16.83 0 0
10700 Put - 17.320B 16.980A - 0.33 17.33 0 0
10750 Put - 17.820B 17.480A - 0.33 17.83 0 0
10800 Put - 18.320B 17.980A - 0.33 18.33 0 0
10850 Put - 18.820B 18.480A - 0.33 18.83 0 1
10900 Put - 19.320B 18.980A - 0.33 19.33 0 1
10950 Put - 19.820B 19.480A - 0.33 19.83 0 1
11000 Put - 20.320B 19.980A - 0.33 20.33 0 1
Total 953 9,970
9500 Put - - - - -0.67 4.44 0 280
9550 Put - - - - -0.67 4.94 0 133
9600 Put - - - - -0.67 5.44 0 21
9650 Put - - - - -0.67 5.94 0 28
9700 Put - - - - -0.67 6.44 0 14
9750 Put - - - - -0.67 6.94 0 15
9800 Put - - - - -0.67 7.44 0 58
9850 Put - - - - -0.67 7.94 0 45
9900 Put - - - - -0.67 8.44 0 30
9950 Put - - - - -0.67 8.94 0 38
10000 Put - - - - -0.67 9.44 0 209
10050 Put - - - - -0.67 9.94 0 14
10100 Put - - - - -0.67 10.44 0 45
10150 Put - - - - -0.67 10.94 0 82
10200 Put - - - - -0.67 11.44 0 182
10250 Put - - - - -0.67 11.94 0 25
10300 Put - - - - -0.67 12.44 0 38
10350 Put - - - - -0.67 12.94 0 24
10400 Put - - - - -0.67 13.44 0 80
10450 Put - - - - -0.67 13.94 0 104
10500 Put - - - - -0.67 14.44 0 619
10550 Put - - - - -0.67 14.94 0 0
10600 Put - - - - -0.67 15.44 0 3
10650 Put - - - - -0.67 15.94 0 0
10700 Put - - - - -0.67 16.44 0 3
10750 Put - - - - -0.67 16.94 0 3
10800 Put - - - - -0.67 17.44 0 3
10850 Put - - - - -0.67 17.94 0 7
10900 Put - - - - -0.67 18.44 0 3
10950 Put - - - - -0.67 18.94 0 4
11000 Put - - - - -0.67 19.44 0 4
11050 Put - - - - -0.67 19.94 0 7
11100 Put - - - - -0.67 20.44 0 8
11150 Put - - - - -0.67 20.94 0 4
11200 Put - - - - -0.67 21.44 0 3
11250 Put - - - - -0.67 21.94 0 0
11300 Put - - - - -0.67 22.44 0 4
11350 Put - - - - -0.67 22.94 0 4
11400 Put - - - - -0.67 23.44 0 4
11450 Put - - - - -0.67 23.94 0 8
11500 Put - - - - -0.67 24.44 0 8
11550 Put - - - - -0.67 24.94 0 14
11600 Put - - - - -0.67 25.44 0 20
11650 Put - - - - -0.67 25.94 0 14
Total 13,854 83,393

II. Final data DC2

Date when hedge is closed
Students' names Shayla Materre/Maureen Walston Friday, April 12, 2019
1. Name of the currency to hedge Japanese Yen
1a Name of the currency pair formed against the US dollar (OANDA, FXCM) (OANDA, FXCM) (OANDA, FXCM) USD/JPY
1b Is this a direct quote in the spot market? (Y/N) N
2. Exchange rate of the currency as typically quoted in FX markets BID ASK
Use the last quote of that day/week. 112.01 112.04
2a Express the price as a direct quote (value of one unit of that currency in dollars) 0.0089254 0.0089278
3. Price of the futures contract from the CME Group website 89665
Expiration month of future contract Jun-19
4. Use the CME group website to obtain call option price data. Week 2 APR
This is the expiration month that you are using for the options
Strike Premium
4a. Obtain the premium for the call option with this strike price 8900 2.16
4b. Obtain the premium for the call option with this strike price 9000 1.17
4c. Obtain the premium for the call option with this strike price 9100 0.3
5. Use the CME group website to obtain put option price data.
Strike Premium
5a. Obtain the premium for the put option with this strike price 8900 0
5b. Obtain the premium for the put option with this strike price 9000 CAB
5c. Obtain the premium for the put option with this strike price 9100 0.13
Students must make sure that futures and options prices are obtained over the weekend that matches the ending date selected at the beginning of the exercise.
garzax: Calculated cell If direct quote, then it's same as 2. If indirect, then must calculate the inverse.
Garza-Gomez, Xavier: The distance between strike prices must be at least 100 pips
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.
Normally quoted as cents. With exception of EURUSD which is quoted in dollars and the JPY which is quoted as 100ths of a cent.

III. Trading profits

Students' names Shayla Materre/Maureen Walston
Basic information for this currency pair USD/JPY
# units required of the foreign currency 100000000
Direct pair (Y/N) N # contracts needed to complete the number of units 8
BId Ask Transaction cost to trade one futures contract $ 7.50
Indirect price (beginning) 111.69 111.72 Transaction cost to trade one options contract $ 7.50 NOTE
Indirect price (end) 112.01 112.04 Only green cells have active formulas. Students must type the formulas needed to answer questions below
Direct price (beginning) 0.008951 0.008953 4/5/19 DC1 date
Direct price (end) 0.008925 0.008928 4/12/19 DC2 date
Pip converter (100 or 10000) # days 7
100
Futures contract converter
10000000
Option price adjustment factor (1,100,10000)
10000
1a. If you had speculated the day of DC1 by purchasing currency forward contract(s) that specify delivery of 1 million units of the foreign currency, and then settled up on your contract(s) the day of DC2, what would be your profit or loss?
Please report the profit/loss before and after commissions.
Spot (beg) 111.34
Fwd points (beg) -2.72
Spot (end) 110.400000 Net profit/loss $ 7,428
P/L per unit 0.000074278
1b. If you had speculated the day of DC1 by selling currency forward contract(s) that specify receipt of 1 million units of the foreign currency, and then settled up on your contract(s) the day of DC2, what would be your profit or loss?
Please report the profit/loss before and after commissions.
Spot (beg) 111.36 Analysts'
Fwd points (beg) -2.48 recommended
Spot (end) 110.380000 Net profit/loss $ (7,773) trade
P/L per unit -0.000078
2a. If you had speculated the day of DC1 by purchasing currency futures contract(s) that specify delivery of 1 million units of the foreign currency, and then settled up on your contract(s) the day of DC2, what would be your profit or loss?
Please report the profit/loss before and after commissions.
Futures contract (beg) 0.008987 Gross Profit/loss 6950
Futures contract (end) 0.009057 Commission paid $ 120
P/L per unit 0.000070 Net profit/loss $6,830
2b. If you had speculated the day of DC1 by selling currency futures contract(s) that specify receipt of 1 million units of the foreign currency, and then settled up on your contract(s) the day of DC2, what would be your profit or loss?
Please report the profit/loss before and after commissions.
Futures contract (beg) 0.008987 Gross Profit/loss -6950 Analysts'
Futures contract (end) 0.009057 Commission paid $ 120 recommended
P/L per unit -0.000070 Net profit/loss -$7,070 trade
3a. Assume that you had speculated the day of DC1 by purchasing call options that specify 1 million units of the foreign currency. You then disposed of your contract the day of DC2 or exercised them if it was reasonable to do so. What would be your profit or loss after considering the premium you paid for the call options? Calculate your results for the OTM, ATM and ITM options.
Please report the profit/loss before and after commissions.
ITM Option price (beg) 0.000108 Gross Profit/loss 5100
Option price (end) 0.000159 Commission paid $ 120
P/L per unit 0.000051 Net profit/loss $4,980
ATM Option price (beg) 0.000053 Gross Profit/loss 2200
Option price (end) 0.000075 Commission paid $ 120
P/L per unit 0.000022 Net profit/loss $2,080
OTM Option price (beg) 0.000024 Gross Profit/loss 400
Option price (end) 0.000028 Commission paid $ 120
P/L per unit 0.000004 Net profit/loss $280
3b. Assume that you had speculated the day of DC1 by selling call options that specify 1 million units of the foreign currency. If calls are expiring, the counter-party on your contract exercised the contract the day of DC2 if it was feasible to do so. If calls have time value you would have to cancel them at market prices. What would be your profit or loss after considering the premium you received from selling the call options? Calculate your results for the OTM, ATM and ITM options. Please report the profit/loss before and after commissions.
ITM Option price (beg) 0.000108 Gross Profit/loss -5100
Option price (end) 0.000159 Commission paid $ 120
P/L per unit -0.000051 Net profit/loss -$5,220
ATM Option price (beg) 0.000053 Gross Profit/loss -2200 Analysts'
Option price (end) 0.000075 Commission paid $ 120 recommended
P/L per unit -0.000022 Net profit/loss -$2,320 trade
OTM Option price (beg) 0.000024 Gross Profit/loss -400
Option price (end) 0.000028 Commission paid $ 120
P/L per unit -0.000004 Net profit/loss -$520
4a. Assume that you had speculated the day of DC1 by purchasing put options that specify 1 million units of the foreign currency. You then disposed of your contracts the day of DC2 or exercised them if it was reasonable to do so. What would be your profit or loss after considering the premium you paid for the put options? Calculate your results for the OTM, ATM and ITM options.
Please report the profit/loss before and after commissions.
ITM Option price (beg) 0.000137 Gross Profit/loss -6600
Option price (end) 0.000071 Commission paid $ 120
P/L per unit -0.000066 Net profit/loss -$6,720
ATM Option price (beg) 0.000066 Gross Profit/loss -4700 Analysts'
Option price (end) 0.000019 Commission paid $ 120 recommended
P/L per unit -0.000047 Net profit/loss -$4,820 trade
OTM Option price (beg) 0.000021 Gross Profit/loss -1850
Option price (end) 0.000003 Commission paid $ 120
P/L per unit -0.000019 Net profit/loss -$1,970
4b. Assume that you had speculated the day of DC1 by selling put options that specify 1 million units of the foreign currency. If puts are expiring, the counter-party on your contract exercised the contract at the day of DC2 if it was feasible to do so. If puts have time value you would have to cancel them at market prices. What would be your profit or loss after considering the premium you received from selling the put option? Calculate your results for the OTM, ATM and ITM options. Please report the profit/loss before and after commissions.
ITM Option price (beg) 0.000137 Gross Profit/loss 6600
Option price (end) 0.000071 Commission paid $ 120
P/L per unit 0.000066 Net profit/loss $6,480
ATM Option price (beg) 0.000066 Gross Profit/loss 4700
Option price (end) 0.000019 Commission paid $ 120
P/L per unit 0.000047 Net profit/loss $4,580
OTM Option price (beg) 0.000021 Gross Profit/loss 1850
Option price (end) 0.000003 Commission paid $ 120
P/L per unit 0.000019 Net profit/loss $1,730
5a. If you had speculated the day of DC1 by purchasing 1 million units of the foreign currency in the spot market, and then closed your position the day of DC2, what would be your raw profit or loss? Estimate the carryover cost/revenue using LIBOR rates and broker rollover rates and estimate the net profit/loss.
USD overnight rate 0.93000% # days 7
Foreign currency overnight rate -0.01057%
Estimated carry trade Net Profit/loss https://www.forex.com/en-us/why-us/why-choose-us/value-and-reliability/rollover-rates
Spot (beg) 111.340000 Using LIBOR rates -164.26 $ 7,483 These quotes are expressed in USD received (paid) for each 10000 units traded
Spot (end) 110.400000 Using forex.com rollover rates -182.32 $ 7,465
P/L per unit 0.000076 Using fxdd rollover rates -238.28 $ 7,409
Gross P/L $ 7,647
5b. If you had speculated the day of DC1 by selling 1 million units of the foreign currency in the spot market, and then closed your position the day of DC2, what would be your gross profit or loss? Estimate the carryover cost/revenue using LIBOR rates and broker rollover rates and estimate the net profit/loss.
Estimated carry trade Net Profit/loss
Spot (beg) 111.360000 Using LIBOR rates 164.23 $ (7,808) Analysts'
Spot (end) 110.380000 Using forex.com rollover rates 113.15 $ (7,860) recommended
P/L per unit -0.000080 Using fxdd rollover rates 5.66 $ (7,967) trade
Gross P/L $ (7,973)
6. Refer to the consensus forecast obtained from Fxstreet,com
Did they suggest to buy or to sell the foreign currency?
Because the 1 week forecast was neutral, we had to use the 1 month forecast which was bullish on the pair
Bullish on USD, bearish on JPY
Go back and identify the trades suggested by "analysts" http://www.fxdd.com/mt/en/forex-resources/forex-trading-tools/rollover-rates/
How much was net P/L if you traded 1,000,000 units of the FOREIGN currency (100,000,000 in the case of the JPY)
P/L net % P/L from the initial nominal USD investment CP (BC/CC) BUY Positions SELL Positions
Forwards $ (7,773) -0.87% AUD/CAD -0.23 -4.71 These quotes are expressed in USD received (paid) for each 100,000 units traded
Futures $ (7,070) -0.79% AUD/CHF 3.51 -7.63
ATM call option $ (2,320) -0.26% AUD/JPY 1.85 -6.28
ATM put option $ (4,820) -0.54% AUD/NZD -3.19 0.41
Spot with better broker $ (7,808) -0.87% AUD/USD 1.2 -3.9
CAD/CHF 0.31 -6.7
CAD/JPY -1.48 -5.26
7. What did you learn about the use of financial instruments to speculate? Summarize your understanding in one paragraph. Discuss if the currency went up/down or stayed flat and how that affected the different strategies. Which strategy was most profitable? Which strategy performed the worst? Was it good to follow the "experts"? Which option is better ATM, ITM or OTM? Why are rollover estimates different among brokers? What conclusions can you get from this exercise? CHF/JPY -5.45 -1.2
EUR/AUD -8.86 6.01
EUR/CAD -7.03 0.85
EUR/CHF -1.13 -3.61
EUR/DKK -3.68 -0.43
EUR/GBP -2.29 0.55
EUR/HUF -7.2 2.42
EUR/JPY -3.32 -1.02
EUR/MXN -16.17 12.17
EUR/NOK -4.95 2.44
EUR/NZD -11.74 8.69
EUR/PLN -9.33 3.9
EUR/SEK -0.01 -0.03
EUR/TRY -38.34 31.84
EUR/USD -4.6 2.1
EUR/ZAR -27.4 23.51
GBP/AUD -7.25 4.1
GBP/CAD -4.94 -2.39
GBP/CHF 2.68 -7.94
GBP/JPY -0.74 -5.35
GBP/NZD -10.86 7.53
GBP/USD -1.8 -0.7
GBP/ZAR -30.52 26.44
NOK/JPY -0.86 -2.18
NOK/SEK 0.15 -0.8
NZD/CAD 1.31 -6.1
NZD/CHF 4.74 -8.87
NZD/JPY 3.14 -7.57
NZD/USD 2.7 -5.5
OIL/USD -2.13 0
SGD/JPY -16.99 -20.13
USD/CAD -6.26 -3.01
USD/CHF 1.96 -6.08
USD/CNH -9.42 -6.2
USD/DKK -0.15 -3.22
USD/HKD -1.93 -4.77
USD/HUF -3.15 -0.62
USD/JPY 0.09 -3.79
USD/MXN -11.13 7.79
USD/NOK -1.25 -0.71
USD/PLN -5.04 0.65
USD/RUB -29.96 25.42
USD/SEK 2.57 -4.67
USD/SGD -23.05 -22.32
USD/TRY -87.55 79.38
USD/ZAR -20.98 17.69
XAG/EUR -0.11 -0.07
XAG/USD -0.15 -0.07
XAU/EUR -0.79 -0.26
XAU/USD -3.1 1.8
XPD/USD -1.25 0.7
XPT/USD -2.2 1.4
ZAR/JPY 0.37 -2.45
10000 for JPY 100 for AUD, GBP, CAD,AUD ,CHF 1 for EUR
100 for USDJPY 10000 for all other pairs
100,000,000 for JPY 1,000,000 for all others
Depends on the # units in each futures contract
Used for CAD, CHF, JPY Not used for AUD, EUR or GBP
Calculated for CAD, JPY and CHF Copied for AUD, EUR,GBP These numbers will be used for most of the questions below
Garza-Gomez, Xavier: Most settlement prices are already in USD and can be used directly, so converter is just 1.0 JPY however, needs to be adjusted dividing settlement prices by 1000,000
Garza-Gomez, Xavier: These numbers don't match those collected in Initial data
Garza-Gomez, Xavier: Make sure this is overnight rate. Go back to your sources.
Garza-Gomez, Xavier: # of actual days between initial data and final data

IV. One year forecast

Students' names Shayla Materre/Maureen Walston
Basic information for this currency pair USD/JPY
Direct pair (Y/N) N
BId Ask
Indirect price (beginning) 111.69 111.72
Direct price (beginning) 0.008951 0.008953 4/5/19 DC1 date
Pip converter (100 or 10000)
100
Forecast from Forward Rates
1) Use the forward quotes for 12M to develop a one year numeric forecast for the direction of the pair
Students analyzing an indirect pair must clearly differentiate between foreign currency and the pair.
Forward quotes 12M
Name Bid Ask High Low Chg Time
USDJPY SW FWD -2.72 -2.48 -2.67 -2.58 -0.02 15:02:00
USDJPY 2W FWD -5.35 -5.15 -5.35 -5.15 -0.05 14:56:00
USDJPY 1M FWD -13.2 -12.6 -12.94 -12.75 -0.28 17:11:00
USDJPY 2M FWD -31.45 -30.8 -30.95 -30.9 0.18 15:02:00
USDJPY 3M FWD -46.22 -45.12 -45.89 -45.5 -0.29 15:02:00
USDJPY 6M FWD -96.2 -95 -96 -95.2 -0.55 16:00:00
USDJPY 1Y FWD -206.33 -202.57 -205.48 -205.3 -1.12 15:02:00
USD/JPY 111.34 111.36
Average fwd points (12M) -204.45
Point adjustment factor 100
Avg spot 111.35
Avg forward 109.3055
Forward premium/discount for primary currency -1.84%
F/S - 1
Which one is relevant depends if the pair is a direct quote or an indirect quote
Forward premium/discount for secondary currency 1.87%
S/F-1
Students must identify the correct number and write the conclusion
Forecast from Future Rates
2) Use the CME future market to develop a one-year forecast for the direction of the pair
Students analyzing an indirect pair must clearly differentiate between foreign currency and the pair.
Futures quotes
Month Open High Low Last Change Settle Estimated Volume Prior Day Open Interest
About This Report
17-Jun 89490 90255 89470 89885 355 89870 126,499 208,427
JLY 17 89670 90380B 89610A 90030A 360 90005 303 291
17-Aug 89780 90490B 89725A 90160B 360 90110 198 94
17-Sep 89855 90635 89845 90285B 360 90255 898 7,108
17-Oct - - - - 365 90385 0 0
17-Dec 90225 91035 90225 90700A 360 90670 7 278
18-Mar - 91380B - 91145A 370 91125 0 70
18-Jun - 91735B - 91655A 375 91600 0 28
18-Sep - 92020B - 92020B 385 92130 0 4
18-Dec - - - - 390 92665 0 0
19-Mar - - - - 400 93210 0 0
19-Jun - - - - 405 93775 0 0
19-Sep - - - - 405 94420 0 0
The foreign currency is expected to move
F1/Fo - 1
1.93% in the following year
Forecast from Interest Rates
3)Use the LIBOR rates to develop a one year forecast for the direction of the pair Expected movement for foreign currency
Students analyzing an indirect pair must clearly differentiate between foreign currency and the pair.
Approximation Exact formula
JPY 5/26/17 USD 5/26/17 Rh-Rf (1+Rh)/(1+Rf) - 1
 JPY LIBOR - overnight -0.0106%  USD LIBOR - overnight 0.93000%
 JPY LIBOR - 1 week -0.0069%  USD LIBOR - 1 week 0.94922%
 JPY LIBOR - 2 weeks -  USD LIBOR - 2 weeks -
 JPY LIBOR - 1 month -0.01629 %  USD LIBOR - 1 month 1.04467 %
 JPY LIBOR - 2 months -0.01371 %  USD LIBOR - 2 months 1.12083 %
 JPY LIBOR - 3 months -0.01529 %  USD LIBOR - 3 months 1.20178 %
 JPY LIBOR - 4 months -  USD LIBOR - 4 months -
 JPY LIBOR - 5 months -  USD LIBOR - 5 months -
 JPY LIBOR - 6 months 0.02300 %  USD LIBOR - 6 months 1.41378 %
 JPY LIBOR - 7 months -  USD LIBOR - 7 months -
 JPY LIBOR - 8 months -  USD LIBOR - 8 months -
 JPY LIBOR - 9 months -  USD LIBOR - 9 months -
 JPY LIBOR - 10 months -  USD LIBOR - 10 months -
 JPY LIBOR - 11 months -  USD LIBOR - 11 months -
 JPY LIBOR - 12 months 0.13%  USD LIBOR - 12 months 1.72% 1.596% 1.594%
Average Forecast
4) Using the three forecasts, calculate the expected movement for the foreign currency and for the pair
Three forecasts
Forward premium/discount 1.87%
Futures expected movement 1.93%
Interest rate effect 1.594%
In the following year the foreign currency should move about
Average 1.80% against the USD
Given that the pair is
Direct/Indirect The forecast for the currency PAIR, is the same/contrary to
the forecast for the foreign currency
5) Calculate the annual forward premium for the foreign currency using the following time intervals: 1 week, 2 weeks, 1 month, 2 months 3 months and 6 months. Identify the direction for the foreign currency and compare to the average forecast reported above
Days F annualized F/S-1 annualizedS/F -1
USDJPY SW FWD -2.72 -2.48 -2.6 7 111.32 -1.20% 1.20%
USDJPY 2W FWD -5.35 -5.15 -5.25 14 111.30 -1.21% 1.21%
USDJPY 1M FWD -13.2 -12.6 -12.9 30 111.22 -1.39% 1.39%
USDJPY 2M FWD -31.45 -30.8 -31.125 60 111.04 -1.68% 1.68%
USDJPY 3M FWD -46.22 -45.12 -45.67 90 110.89 -1.64% 1.65%
USDJPY 6M FWD -96.2 -95 -95.6 180 110.39 -1.72% 1.73%
USD/JPY 111.34 111.36 111.35
6) Compare the annualized forward premium calculated with short intervals to the one year number. Are the numbers similar? Is there a pattern? What could be the causes for the difference?
7) Compare the forward premium calculated above to the forecasts made by the "experts" included in the Fxstreet website. Is the direction the same? What factors do you think the analysts used to develop their own forecasts? Include the ACTUAL spot values for the pair one week and 1 month after the initial forecast. Which of the experts was closest to the actual value?
1 Week 1 Month
Date of forecast FWD forecast 111.32 111.22
May 20 2016 Experts' forecast 111.36 112.70
Actual 110.39
1 week after forecast 26-May-16 109.74
27-May-16 109.86
http://www.federalreserve.gov/releases/h10/hist/
1 month after forecast 16-Jun-16 104.05
17-Jun-16 104.2 4 weeks
20-Jun-16 104.32 1 month after
Garza-Gomez, Xavier: This column is used for direct pairs. Please erase when doing an indirect pair
Garza-Gomez, Xavier: This column is used for indirect pairs. Please erase when doing a direct pair.
Garza-Gomez, Xavier: Normally 10000 but 100 for JPY pairs
Used for CAD, CHF, JPY Not used for AUD, EUR or GBP
Calculated for CAD, JPY and CHF Copied for AUD, EUR,GBP These numbers will be used for most of the questions below
100 for USDJPY (normally, check for Fxstreet) 10000 for all other pairs

V. Hedging

Students' names Shayla Materre/Maureen Walston
Basic information for this currency pair USD/JPY
# units required of the foreign currency 100000000
Direct pair (Y/N) N # contracts needed to complete the number of units 8
BId Ask Transaction cost to trade one futures contract 7.5
Indirect price (beginning) 111.69 111.72 Transaction cost to trade one options contract 7.5
Indirect price (end) 112.01 112.04
Direct price (beginning) 0.008951 0.008953 4/5/19 DC1 date
Direct price (end) 0.008925 0.008928 4/12/19 DC2 date
Pip converter (100 or 10000)
100
Futures contract converter
10000000
Option price adjustment factor (1,100,10000)
10000
1. Determine the percentage change in the currency’s value over the period studied
Initial spot Final spot % change NOTE
0.008952 0.008927 -0.29% Only green cells have formulas. Students must type the formulas needed to answer questions 2-5.
1a. Determine the percentage change in the futures contract over the period. Compare these two numbers.
Futures price (beg) Futures price (end) % change
0.009017 0.008967 -0.55%
Futures moved less than spot
2. Assume that on the day of DC1, you had contracted to purchase imports, which would require you to pay 1 million units of the currency on the day of DC2.
(Students selecting JPY must use 100,000,000 units for this question and for the following questions. Students selecting CNY must use 10,000,000 units for this question and for the following questions)
a. If you had hedged your position with a forward hedge, how many dollars would you have paid for the goods as of the end of the period?
Initial spot Total cost
Fwd points
Unit cost
b. If you had hedged your position with a futures hedge, how many dollars would you have paid for the goods as of the end of the school term?
Final spot
Futures price (beg) Total cost (before CME costs)
Futures price (end)
Unit cost Total cost
c. If you had hedged your position with a call option hedge, how many dollars would you have paid for the payables as of the end of the period? Answer for the ITM, ATM and OTM call options. Please consider a cost of capital for the firm of 8% when you estimate the “total” premium paid and a 360 day convention.
Please remember that quotes for option premiums and the strike price for the options differ among currencies. Some of them will require different adjustments (divide by 100, divide by 1 or divide by 10000). Be very careful when you calculate the total $ cost per unit
Final spot Cost of capital # days
ITM Option price (beg) Total cost (before CME costs)
Total premium
Option price (end) Transaction costs
Unit cost (before commission) Total cost
ATM Option price (beg) Total cost (before CME costs)
Total premium
Option price (end) Transaction costs
Unit cost (before commission) Total cost
OTM Option price (beg) Total cost (before CME costs)
Total premium
Option price (end) Transaction costs
Unit cost (before commission) Total cost
d. Assume that you used a money market hedge at the beginning of the school term by borrowing USD at the LIBOR rate + 2%, converted into the foreign currency and invested at the LIBOR rate for the foreign currency to obtain enough money to pay for the account payable. How many dollars would you have to pay on the loan at the end of the school term?
Int rate Time (in days)
Units of foreign currency needed Total cost
Equivalent in USD to borrow Loan amount + interest
Int rate
e. If you did not hedge, how many dollars would you have paid for the goods as of the end of the school term?
Final spot 0.009062 Total cost
f. Fill out the table below
Strategy used for payables Unit cost Total dollar amount paid before commissions Total cost after considering CME fees
Forward hedge
Future hedge
Call options hedge (ITM)
Call options hedge (ATM)
Call options hedge (OTM)
Money market hedge
No hedge
Consider that trading one futures contract and trading one option contract costs you $7.50. In order to calculate the total commission you need to know how many contracts need to be traded. Please check the size of the futures contract and report the number of contracts required in the transaction.
3. This question connects with the forecast obtained in Fxstreet
Assume that the hedging decision depended on the forecast of the currency from FX street. If ALL analysts suggest that foreign currency is going up, then you want to hedge 100% of the payables. If ALL analysts suggest that foreign currency is going down, then you will play it conservatively and only hedge 25% of the exposure. You can choose to hedge a fraction of the amount based on the number (%) of analysts expecting an increase. Select the level and calculate the profit/loss for each hedging technique compared to the unhedged position (no hedge case).
Pair movement that hurts us
# analysts expecting such movement Amount to leave unhedged
# forecasts avaiable Amount to hedge
Percentage to hedge
Cost of payables if left unhedged
Unhedged cost Hedged cost Total P/L
Forward hedge
Future hedge
Call options hedge (ITM)
Call options hedge (ATM)
Call options hedge (OTM)
Money market hedge
Which alternative was best in this case? Was your forecast useful?
4. Assume that as of the beginning of the school term, you had contracted to sell exports, which would result in your receiving 1 million units of the foreign currency at the end of the school term.
a. If you had hedged your position with a forward hedge, how many dollars would you have received for the goods as of the end of the school term?
Initial spot Total revenue
Fwd points
Unit price
b. If you had hedged your position with a futures hedge, how many dollars would you have received for the goods as of the end of the school term?
Final spot
Futures price (beg) Revenue (before CME costs)
Futures price (end) Transaction costs
Unit price Net revenue
c. If you had hedged your position with put options, how many dollars would you have received for the goods as of the end of the school term (account for the premium that you paid for the put option)? Answer for the ITM, ATM and OTM put options. Please consider a cost of capital for the firm of 8% when you estimate the “total” premium paid.
Please remember that quotes for option premiums and the strike price for the options differ among currencies. Some of them will require different adjustments (divide by 100, divide by 1000 or divide by 10000) Be very careful when you calculate the total $ received per unit
Final spot Cost of capital # days
ITM Option price (beg) Revenue (before CME costs)
Total premium
Option price (end) Transaction costs
Unit cost (before commission) Net revenue
ATM Option price (beg) Revenue (before CME costs)
Total premium
Option price (end) Transaction costs
Unit cost (before commission) Net revenue
OTM Option price (beg) Revenue (before CME costs)
Total premium
Option price (end) Transaction costs
Unit cost (before commission) Net revenue
d. Assume that you used a money market hedge at the beginning of the school term by borrowing foreign currency at the LIBOR rate + 3%, converted into USD and invested in the business at an annual rate of 8%. How many dollars would you “receive” at the end of the school term?
Int rate Time (in days)
Units of foreign currency received PV of revenue
Equivalent in USD to deposit Amount received + "interest"
Int rate
e. If you did not hedge, how many dollars would you have received for the goods as of the end of the school term?
Final spot 0.009060 Total revenue
f. Fill out the table below
Strategy used for receivables Unit price Total dollar amount received Amount received after CME costs
Forward hedge
Futures hedge
Put options hedge (ITM)
Put options hedge (ATM)
Put options hedge (OTM)
Money market hedge
No hedge
Consider that trading one futures contract and trading one option contract costs you $7.50. In order to calculate the total commission you need to know how many contracts need to be traded. Please check the size of the futures contract and report the number of contracts required in the transaction.
5. This question also connects with the FXstreet forecasts and the hedging decision depends on the number of analysts projecting an adverse movement. If ALL analysts think the foreign currency is going up, then you want to hedge the lowest amount possible of the receivables, which is 25% If the forecasts suggest the foreign currency is going down, then you will definitely want to hedge 100% of the exposure. You can vary your amount to hedge based on the number (%) of analysts expecting an adverse movement. Select the hedging level and calculate the profit/loss for each hedging technique. Compare to the unhedged position (no hedge case) and determine what strategy was the best.
Pair movement that hurts us
# analysts expecting such movement Amount to leave unhedged
# forecasts avaiable Amount to hedge
Percentage to hedge
Amount received if left unhedged
Unhedged revenue Hedged revenue Total P/L
Forward hedge
Future hedge
Put options hedge (ITM)
Put options hedge (ATM)
Put options hedge (OTM)
Money market hedge Value created
Which alternative was best in this case? Was your forecast useful?
6. What have you learned about the different hedging methods? Compare MM hedge and forward hedge. Compare forward hedge and futures hedge. Compare options and futures. Which is easier to use? Which is riskier? Which has a higher initial cost?
100,000,000 for JPY 1,000,000 for all others
Depends on the # units in each futures contract
Used for CAD, CHF, JPY Not used for AUD, EUR or GBP
Calculated for CAD, JPY and CHF Copied for AUD, EUR,GBP These numbers will be used for most of the questions below
100 for USDJPY (normally, check for Fxstreet) 10000 for all other pairs
10000 for JPY 100 for AUD, GBP, CAD,AUD 1 for EUR
Must match the actual duration of the exercise. Interest rates is divided by 360 and multiplied by # of days in order to get the interest rate for the period.
Garza-Gomez, Xavier: Most settlement prices are already in USD and can be used directly JPY however, needs to be adjusted dividing settlement prices by 1000,000

American Options

American Options

American Options

American Options

Friday, 20 May 2016 (Final)

Friday, 20 May 2016 (Final)

Friday, 27 May 2016 (Prelim)

Friday, 27 May 2016 (Prelim)

Friday, 20 May 2016 (Final)

Friday, 20 May 2016 (Final)

Friday, 27 May 2016 (Prelim)

Friday, 27 May 2016 (Prelim)

Jun 2016

Jun 2016

Jun 2016

Jun 2016

Friday, 20 May 2016 (Final)

Friday, 20 May 2016 (Final)

American Options

American Options

Jun 2016

Jun 2016