Japanese Yen Futures Settlements

Spot price = 113.74 Yen/$

Note that the quotes are in $/Yen multiplied by 10,000,000.

One contract is for 12.5 million Yen.

JY CME JAPANESE YEN FUTURES

SETTLEMENT PRICES AS OF 01/30/17 03:20 PM (CST)

MTH/ ------------- DAILY -------------------- PT ----- PRIOR DAY ------

STRIKE OPEN HIGH LOW LAST SETT CHGE EST.VOL SETT VOL INT

MAR17 87165 88255 87100 88155 88080 +1040 149867 87040 136815 190361

JUN17 87720 88655B 87545A 88570B 88495 +1030 1005 87465 508 8863

SEP17 88275 89065B 88090A 88985B 88940 +1010 7 87930 57

DEC17 ---- 89500B ---- 89420A 89425 +1010 88415 22

MAR18 ---- 90010B ---- 89960A 89975 +1010 88965 39

JUN18 ---- 90335B ---- 90335B 90555 +1015 89540 11

SEP18 ---- ---- ---- ---- 91145 +1020 90125

DEC18 ---- ---- ---- ---- 91740 +1020 90720

MAR19 ---- ---- ---- ---- 92395 +1030 91365

JUN19 ---- ---- ---- ---- 93105 +1040 92065

SEP19 ---- ---- ---- ---- 93825 +1050 92775

DEC19 ---- ---- ---- ---- 94560 +1065 93495

MAR20 ---- ---- ---- ---- 95305 +1080 94225

JUN20 ---- ---- ---- ---- 96060 +1090 94970

SEP20 ---- ---- ---- ---- 96830 +1105 95725

DEC20 ---- ---- ---- ---- 97610 +1115 96495

MAR21 ---- ---- ---- ---- 98405 +1130 97275

JUN21 ---- ---- ---- ---- 99210 +1140 98070

SEP21 ---- ---- ---- ---- 100030 +1155 98875

DEC21 ---- ---- ---- ---- 100865 +1170 99695

TOTAL EST.VOL VOLUME OPEN INT

TOTAL 150879 137323 199353

A. Suppose you are an importer of toys from Japan. You expect to import Yen 100,000,000 worth of toys in June 2017. How many contracts of the June Yen/$ futures should be purchased to completely hedge your Yen exposure?

B. On the day of the June 2017 futures expiration, the spot exchange rate is 110Yen/$. What is the profit/loss on the futures position?

C. What is the 7-month Japanese risk-free rate implied by the SEP17 futures settlement price? Assume that the 7-month risk free rate in the US is 0.56% per annum (continuously compounded).