Using the quotations in Exhibit 7.3, note that the June 2016 Mexican peso futures contract has a price of $0.05481 per MXN. You believe the spot price in September will be $0.06133 per MXN.
1. What speculative position would you enter into to attempt to profit from your beliefs?
2. Calculate your anticipated profits, assuming you take a position in three contracts.
3. 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?
EXHIBIT 7.3 Open CME Group Currency Futures Contract Quotations High Low Settle Change Open interest 9173 .9202 9182 .9212 -.0030 -.0030 159,608 1,443 .7714 .7753 .7753 .0023 .0023 .7715 118,862 2,744 Sept 1.4333 1.4342 1.4391 1.4398 .0023 .0023 238,280 1,796 June 1.0231 1.0276 1.0235 1.0282 -.0032 -0032 43,970 178 Currency Futures Japanese Yen (CME)-12,500,000; $ per 100% June .9210 .9226 Sept .9246 .9255 Canadian Dollar (CME)-CAD 100,000; $ per CAD June .7724 .7768 .7719 .7766 British Pound (CME)-62,500; $ per June 1.4353 1.4416 Sept 1.4356 1.4421 Swiss Franc (CME)-CHF 125,000; $ per CHF 1.0258 1.0271 Sept 1.0300 1.0300 Australian Dollar (CME)-AUD 100,000; $ per AUD June .7246 .7301 .7222 .7275 Mexican Peso (CME)-MXN 500,000; $ per MXN June .05487 .05512 Euro (CME)-125,000; $ per June 1.1312 1.1352 Sept 1.1347 1.1386 Euro/Japanese Yen (ICE-US)-125,000; \ per June 122.66 123.53 Sept Euro/British Pound (ICE-US)-125,000; per June .78845 .78995 Sept Euro/Swiss Franc (ICE-US)-125,000; CHF per June 1.1031 1.1069 .7241 .7217 .7280 .7254 .0016 .0016 119,002 2,404 Sept .05440 .05481 -.00006 91,662 1.1311 1.1327 1.1363 .0011 .0011 339,149 5,793 1.1347 122.64 123.36 123.35 8,857 .78665 28,429 .78710 .78915 -.00050 -.00055 1.1031 1.1067 .0045 16,149 EXHIBIT 7.3 Open CME Group Currency Futures Contract Quotations High Low Settle Change Open interest 9173 .9202 9182 .9212 -.0030 -.0030 159,608 1,443 .7714 .7753 .7753 .0023 .0023 .7715 118,862 2,744 Sept 1.4333 1.4342 1.4391 1.4398 .0023 .0023 238,280 1,796 June 1.0231 1.0276 1.0235 1.0282 -.0032 -0032 43,970 178 Currency Futures Japanese Yen (CME)-12,500,000; $ per 100% June .9210 .9226 Sept .9246 .9255 Canadian Dollar (CME)-CAD 100,000; $ per CAD June .7724 .7768 .7719 .7766 British Pound (CME)-62,500; $ per June 1.4353 1.4416 Sept 1.4356 1.4421 Swiss Franc (CME)-CHF 125,000; $ per CHF 1.0258 1.0271 Sept 1.0300 1.0300 Australian Dollar (CME)-AUD 100,000; $ per AUD June .7246 .7301 .7222 .7275 Mexican Peso (CME)-MXN 500,000; $ per MXN June .05487 .05512 Euro (CME)-125,000; $ per June 1.1312 1.1352 Sept 1.1347 1.1386 Euro/Japanese Yen (ICE-US)-125,000; \ per June 122.66 123.53 Sept Euro/British Pound (ICE-US)-125,000; per June .78845 .78995 Sept Euro/Swiss Franc (ICE-US)-125,000; CHF per June 1.1031 1.1069 .7241 .7217 .7280 .7254 .0016 .0016 119,002 2,404 Sept .05440 .05481 -.00006 91,662 1.1311 1.1327 1.1363 .0011 .0011 339,149 5,793 1.1347 122.64 123.36 123.35 8,857 .78665 28,429 .78710 .78915 -.00050 -.00055 1.1031 1.1067 .0045 16,149
