Question
Spot price = 115.142 Yen/$ Note that the quotes are in $/Yen multiplied by 10,000,000. One contract is for 12.5 million Yen. JY CME JAPANESE
Spot price = 115.142 Yen/$ Note that the quotes are in $/Yen multiplied by 10,000,000. One contract is for 12.5 million Yen.
JY CME JAPANESE YEN FUTURES
SETTLEMENT PRICES AS OF 02/09/16 03:20 PM (CST)
JY CME JAPANESE YEN FUTURES
SETTLEMENT PRICES AS OF 02/09/16 03:20 PM (CST)
MTH/ ---- DAILY --- PT ----- PRIOR DAY ------
STRIKE OPEN HIGH LOW LAST SETT CHGE EST.VOL SETT VOL INT
MAR16 86640 87645 86480 86980 87025 +250 271295 86775 226465 234707
JUN16 86885 87920B 86755A 87250A 87300 +270 393 87030 293 1604
SEP16 87890 88165B 87080A 87545A 87625 +255 6 87370 10 154
DEC16 87630 88485B 87450A 87900A 87985 +265 1 87720 2 52
MAR17 ---- 88755B 87945A 88305A 88360 +265 88095 18
JUN17 ---- 88845B 88450A 88755A 88835 +270 88565
SEP17 ---- ---- ---- ---- 89285 +280 89005
DEC17 ---- ---- ---- ---- 89735 +280 89455
MAR18 ---- ---- ---- ---- 90235 +285 89950
JUN18 ---- ---- ---- ---- 90825 +300 90525
SEP18 ---- ---- ---- ---- 91420 +305 91115
DEC18 ---- ---- ---- ---- 92025 +320 91705
MAR19 ---- ---- ---- ---- 92635 +325 92310
JUN19 ---- ---- ---- ---- 93255 +335 92920
SEP19 ---- ---- ---- ---- 93885 +350 93535
DEC19 ---- ---- ---- ---- 94520 +355 94165
MAR20 ---- ---- ---- ---- 95165 +370 94795
JUN20 ---- ---- ---- ---- 95820 +380 95440
SEP20 ---- ---- ---- ---- 96485 +395 96090
DEC20 ---- ---- ---- ---- 97160 +405 96755
TOTAL EST.VOL VOLUME OPEN INT
TOTAL 271695 226770 236535
(a)Suppose you are an importer of toys from Japan. You expect to import Yen 100,000,000 worth of toys in June 2016. How many contracts of the June Yen/$ futures should be purchased to completely hedge your Yen exposure?
(b)On the day of the June 2016 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 SEP16 futures settlement price? Assume that the 7-month risk free rate in the US is 0.39% per annum (continuously compounded).
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