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.
DC1:
DC2:
1. Currency to hedge 1a Currency pair formed with the US dollar (as seen in OANDA, FXCM) Australian Do llar AUD/USD 1b Date when hedge (trading) will be closed and all the calculations done 1c Is this a dire ct quote in the spot market? (Y/N) 2. Exchange rate of the currency as typically quoted in FX markets. Use the SPOT price from the Investing.com site Sunday, November 10, 2019 BID ASK 0.7446 0.7447 2a Express the price as a direct quote (value of one unit of that currency in 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 1.3428226 1.3430030 0.691 Expiration month of future contract Specify the size of the future (option) contracts November-19 100,000.00 4. Forward poin ts 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. 5. Use the CME group website to obtain option price data. Specify the expiration month on the CME options that will cover the period you are interested in hedging 5a. Choose a call option that is in the money and obtain its premium 5b. Find the call option that is at the money and obtain its premium 5c. Choose a call option that is out the money and obtain its premium 6. Use the CME group website to obtain put option price data. Use the same expiration month you chose for call options 6a. Choose a put option that is in the money and obtain its premium 6b. Find the put option that is at the money and obtain its premium 6c. Choose a put option that is out the money and obtain its premium 7. Use the Global Rates website to identify the LIBOR rates BID ASK 1.25 Horizon for Fwd 1.45 1 week quotes Nov-19 Strike Premium 8900 1.08 0.53 0.24 9000 9100 Strike Premium 9100 1.37 9000 0.66 8900 0.21 LIBOR rates Overnight 1.59213 % 1 week USD rate (Overnight and for hedging period) Foreign currency rate for the horizon selected 1.63163 % 0.7500% 1.00000% 1. Name of the currency to hedge 1a Name of the currency pair formed agaiin st the US dollar (OANDA, FXCM) Australian Dollar AUD/USD 1b Is this a direct quote in the spot market? (Y/N) 2. Exchange rate of the currency as typically quoted in FX markets Use the last quote of that day/week. 2a Express the price as a direct quote (value of one unit of that currency in 3. Price of the futures contract from the CME Group website BID ASK 0.6859 0.6863 1.4570887 1.4579385 0.6857 Expiration month of future contract Nov-19 4. Use the CME group website to obtain call option price data. This is the expiration month that you are using for the options Nov-19 Strike Premium 4a. Obtain the premium for the call option with this strike price 4b. Obtain the premium for the call option with this strike price 4c. Obtain the premium for the call option with this strike price 5. Use the CME group website to obtain put option price data. 8900 9000 9100 Strike Premium 5a. Obtain the premium for the put option with this strike price 5b. Obtain the premium for the put option with this strike price 5c. Obtain the premium for the put option with this strike price 9100 9000 8900 1. Currency to hedge 1a Currency pair formed with the US dollar (as seen in OANDA, FXCM) Australian Do llar AUD/USD 1b Date when hedge (trading) will be closed and all the calculations done 1c Is this a dire ct quote in the spot market? (Y/N) 2. Exchange rate of the currency as typically quoted in FX markets. Use the SPOT price from the Investing.com site Sunday, November 10, 2019 BID ASK 0.7446 0.7447 2a Express the price as a direct quote (value of one unit of that currency in 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 1.3428226 1.3430030 0.691 Expiration month of future contract Specify the size of the future (option) contracts November-19 100,000.00 4. Forward poin ts 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. 5. Use the CME group website to obtain option price data. Specify the expiration month on the CME options that will cover the period you are interested in hedging 5a. Choose a call option that is in the money and obtain its premium 5b. Find the call option that is at the money and obtain its premium 5c. Choose a call option that is out the money and obtain its premium 6. Use the CME group website to obtain put option price data. Use the same expiration month you chose for call options 6a. Choose a put option that is in the money and obtain its premium 6b. Find the put option that is at the money and obtain its premium 6c. Choose a put option that is out the money and obtain its premium 7. Use the Global Rates website to identify the LIBOR rates BID ASK 1.25 Horizon for Fwd 1.45 1 week quotes Nov-19 Strike Premium 8900 1.08 0.53 0.24 9000 9100 Strike Premium 9100 1.37 9000 0.66 8900 0.21 LIBOR rates Overnight 1.59213 % 1 week USD rate (Overnight and for hedging period) Foreign currency rate for the horizon selected 1.63163 % 0.7500% 1.00000% 1. Name of the currency to hedge 1a Name of the currency pair formed agaiin st the US dollar (OANDA, FXCM) Australian Dollar AUD/USD 1b Is this a direct quote in the spot market? (Y/N) 2. Exchange rate of the currency as typically quoted in FX markets Use the last quote of that day/week. 2a Express the price as a direct quote (value of one unit of that currency in 3. Price of the futures contract from the CME Group website BID ASK 0.6859 0.6863 1.4570887 1.4579385 0.6857 Expiration month of future contract Nov-19 4. Use the CME group website to obtain call option price data. This is the expiration month that you are using for the options Nov-19 Strike Premium 4a. Obtain the premium for the call option with this strike price 4b. Obtain the premium for the call option with this strike price 4c. Obtain the premium for the call option with this strike price 5. Use the CME group website to obtain put option price data. 8900 9000 9100 Strike Premium 5a. Obtain the premium for the put option with this strike price 5b. Obtain the premium for the put option with this strike price 5c. Obtain the premium for the put option with this strike price 9100 9000 8900
