1. Assume todays settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three days settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day.

2. Using the quotations in Exhibit 7.3, note that the September 2013 Mexican peso futures contract has a price of $0.07713 per MXN. You believe the spot price in September will be $0.08365 per MXN. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. What is the size of your profit (loss) if the futures price is indeed an unbiased predictor of the future spot price and this price materializes?

3. Using the market data in Exhibit 7.6, show the net terminal value of a long position in one 100 Aug Japanese yen European call contract at the following terminal spot prices (stated in U.S. cents per 100 yen): 91, 95, 100, 105, and 109. Ignore any time value of money effect.

2. Using the quotations in Exhibit 7.3, note that the September 2013 Mexican peso futures contract has a price of $0.07713 per MXN. You believe the spot price in September will be $0.08365 per MXN. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. What is the size of your profit (loss) if the futures price is indeed an unbiased predictor of the future spot price and this price materializes?

3. Using the market data in Exhibit 7.6, show the net terminal value of a long position in one 100 Aug Japanese yen European call contract at the following terminal spot prices (stated in U.S. cents per 100 yen): 91, 95, 100, 105, and 109. Ignore any time value of money effect.

2. Using the quotations in Exhibit 7.3, note that the September 2013 Mexican peso futures contract has a price of $0.07713 per MXN. You believe the spot price in September will be $0.08365 per MXN. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. What is the size of your profit (loss) if the futures price is indeed an unbiased predictor of the future spot price and this price materializes?

3. Using the market data in Exhibit 7.6, show the net terminal value of a long position in one 100 Aug Japanese yen European call contract at the following terminal spot prices (stated in U.S. cents per 100 yen): 91, 95, 100, 105, and 109. Ignore any time value of money effect.

EXHIBIT 7.3 CME Group Currency Futures Contract Quotations Open Low Settle Change Open interest High Currency Futures Japanese Yen (CME)-M12,500,000; S per 100M June 9998 0105 9954 1.0078 0082 205,277 13,577 Sept 1.000 1.0110 9959 1.0083 0082 Canadian Dollar (CME) CAD 100,000; per CAD 127,773 June 9667 968 963 9660 000 Sept 9650 9658 96 11 9639 11 002 000 British Pound (CME)- E62,500; S per 1.5290 June 1.5312 5409 540 0097 204,470 1.5283 Sept 5295 1.5400 1.5392 0097 5,434 Swiss Franc (CME-CHF 125,000; S per CHF 1.0534 June 0563 1.0649 1.0620 0060 60.342 1.0550 Sept 0567 1.0659 1.0630 0060 4.207 Australian Dollar (CME)-AUD 100,000; s per AUD 9640 June 9650 9503 9517 0110 181,224 Sept 9577 9587 9443 9458 0108 30,867 Mexican Peso (CME) MXN 500,000; S per MXN June 07853 07883 07763 07770 00067 3.738 00067 Sept 07793 07818 07705 07713 11,72 Euro (CME)-125,000; S per June 3084 1.3118 1.3054 1.3087 0005 223,380 1.3089 Sept 3126 1.3062 1.3094. 0005 6.814 Euro/ Japanese Yen (ICE-US) 125,000; per June 129.85 1.02 8.204 Sept 129.85 1.03 123 Eurol British Pound (ICE-US) 125,000; E per 00465 June 85015 3.517 00460 Sept 85115 174 Euro/Swiss Franc (ICE-US)-125,000; CHF per June 1.2337 005 13.6 Sept 1.2332 005 37 Sources The Wal Street Journal, Thursday, June 6, 2013, p. C9. Reprinted by permission of The Wall Stree Journal, 2013 Dow Jones & Company, Inc. All Rights Reserved Worldwide. Euro JPY, Euro/GBP and Euro/CHF quotations are June 5, 2013 values from Bloomberg EXHIBIT 7.3 CME Group Currency Futures Contract Quotations Open Low Settle Change Open interest High Currency Futures Japanese Yen (CME)-M12,500,000; S per 100M June 9998 0105 9954 1.0078 0082 205,277 13,577 Sept 1.000 1.0110 9959 1.0083 0082 Canadian Dollar (CME) CAD 100,000; per CAD 127,773 June 9667 968 963 9660 000 Sept 9650 9658 96 11 9639 11 002 000 British Pound (CME)- E62,500; S per 1.5290 June 1.5312 5409 540 0097 204,470 1.5283 Sept 5295 1.5400 1.5392 0097 5,434 Swiss Franc (CME-CHF 125,000; S per CHF 1.0534 June 0563 1.0649 1.0620 0060 60.342 1.0550 Sept 0567 1.0659 1.0630 0060 4.207 Australian Dollar (CME)-AUD 100,000; s per AUD 9640 June 9650 9503 9517 0110 181,224 Sept 9577 9587 9443 9458 0108 30,867 Mexican Peso (CME) MXN 500,000; S per MXN June 07853 07883 07763 07770 00067 3.738 00067 Sept 07793 07818 07705 07713 11,72 Euro (CME)-125,000; S per June 3084 1.3118 1.3054 1.3087 0005 223,380 1.3089 Sept 3126 1.3062 1.3094. 0005 6.814 Euro/ Japanese Yen (ICE-US) 125,000; per June 129.85 1.02 8.204 Sept 129.85 1.03 123 Eurol British Pound (ICE-US) 125,000; E per 00465 June 85015 3.517 00460 Sept 85115 174 Euro/Swiss Franc (ICE-US)-125,000; CHF per June 1.2337 005 13.6 Sept 1.2332 005 37 Sources The Wal Street Journal, Thursday, June 6, 2013, p. C9. Reprinted by permission of The Wall Stree Journal, 2013 Dow Jones & Company, Inc. All Rights Reserved Worldwide. Euro JPY, Euro/GBP and Euro/CHF quotations are June 5, 2013 values from Bloomberg