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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,

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) Gross Profit/loss Analysts'
Futures contract (end) Commission paid recommended
P/L per unit Net profit/loss trade
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 $ 5.00
Indirect price (beginning) 146.64 146.67 Transaction cost to trade one options contract $ 7.50
Indirect price (end) 138.79 138.82
Direct price (beginning) 0.006818 0.006819 11/4/2022 DC1 date
Direct price (end) 0.007204 0.007205 11/11/2022 DC2 date
Pip converter (100 or 10000) # days 7
100
Futures contract converter
10000000
Option price adjustment factor (1,100,10000)
10000

DC1:

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, November 11, 2022
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
146.64 146.67
2a Express the price as a direct quote (value of one unit of that currency in dollars) 0.0068180 0.0068194
3. Three or six-month future rate as of this date (use whatever period covers the second data collection period) Report the settlement price reported on the CME Group website 68190
Expiration month of future contract November-22
. 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
-11.59 -11.25
Horizon for Fwd quotes 1 Month
5. Use the CME group website to obtain option price data. Nov-22
Specify the expiration week,month and year 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 6725 1.3
5b. Find the call option that is at the money and obtain its premium 6825 0.58
5c. Choose a call option that is out the money and obtain its premium 6925 0.19
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 6925 0.97
6b. Find the put option that is at the money and obtain its premium 6825 0.37
6c. Choose a put option that is out the money and obtain its premium 6725 0.09
7. Use the Global Rates website to identify the LIBOR rates LIBOR rates
Overnight 1 Month
USD rate (Overnight and for hedging period) 3.8133% 3.84657%
Foreign currency rate for the horizon selected -0.06005%

DC2:

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. 138.79 138.82
2a Express the price as a direct quote (value of one unit of that currency in dollars) 0.0072036 0.0072051
3. Price of the futures contract from the CME Group website 72225
Expiration month of future contract Nov-22
4. Use the CME group website to obtain call option price data. Nov-22
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 6725 4.79
4b. Obtain the premium for the call option with this strike price 6825 3.79
4c. Obtain the premium for the call option with this strike price 6925 2.79
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 6925 0
5b. Obtain the premium for the put option with this strike price 6825 0
5c. Obtain the premium for the put option with this strike price 6725 0.00

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