Index
This file is the template to use for the class project for FINC XXXXXXXXXXInternational Finance
INDEX
Source data for DC1
I. Initial data DC1
Source data for DC2
II. Final data DC2
III. Trading profits
IV. One year forecast Students must update the cells below
V. Hedging
Team members
Garza-Gomez, Xavier:
Please include the names of students in the group, the cu
ency and the semeste
Cheyenne Mille
Alicia Mu
ay
Eduardo Zarate
Cu
ency studied USD/CHF
Semeste
year Summer 2023
Source data for DC1
Forex Rates Forward Rates Futures Options Interest rates Forecast
http:
www.investing.com/cu
encies/streaming-forex-rates-majors http:
www.investing.com
ates-bonds/forward-rates https:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.html https:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.options.html#optionProductId=8123
All major cu
encies
SWISS FRANC FUTURES - SETTLEMENTS USD Secured Overnight Financing Rate (SOFR) https:
www.fxstreet.com
ates-charts/forecast
CHF/USD Monthly Options - Settlements https:
www.global-rates.com/en/interest-rates/sof
sofr.aspx
Pair Bid Ask High Low Chg. Chg. % Time Name Bid Ask High Low Chg Time CHF/USD Weekly Friday Options - Settlements
EUR/USD 1.0893 1.0896 1.097 1.0844 -0.0063 -0.57% 16:59:38 USDCHF ON FWD -0.946 -0.802 -0.946 -2.48 1.704 22:10:00 Cu
ent interest rates
USD/JPY 143.72 143.73 143.88 142.7 0.61 0.42% 16:59:38 USDCHF TN FWD -0.873 -0.836 -0.029 -0.87 0.007 22:20:00 Month Open High Low Last Change Settle Est. Volume Prior day OI june XXXXXXXXXX 5.0500% SOFR (Secured Overnight Financing Rate) is an interest rate published by the Federal Reserve Bank of New York. SOFR can be seen as the average interest rate for secured loans issued in American Dollars (USD) with a maturity of 1 day (overnight). SOFR is a reference rate (benchmark rate) and an alternative to the US Dollar LIBOR rate. USD/CHF
GBP/USD 1.2713 1.2715 1.2752 1.2685 -0.0035 -0.27% 16:59:38 USDCHF SN FWD -0.889 -0.852 -0.889 -0.86 0.001 22:14:00 23-Sep 1.12755 1.128 1.11915 1.12475 -0.0015 1.1244 17,510 36,966 june XXXXXXXXXX 5.0500% https:
www.fxstreet.com
ates-charts/usdchf/forecast
USD/TRY 25.2325 25.2425 25.8083 24.8005 0.3535 1.42% 16:59:42 USDCHF SW FWD -7.54 -7.46 -7.54 -7.46 0 22:10:00 23-Dec 1.132 1.13840B 1.13090A 1.13090A -0.0014 1.13525 13 491 june XXXXXXXXXX 5.0500%
USD/CHF 0.8968 0.8972 0.9013 0.8944 0.0023 0.26% 16:59:38 USDCHF 2W FWD -13.03 -12.86 -12.98 -13.5 0.19 22:12:00 24-Mar - 1.14940B 1.14230A 1.14940B XXXXXXXXXX 1.14645 0 67 Calls Strike Price Puts june XXXXXXXXXX 5.0500%
USD/CAD 1.3179 1.3184 1.3226 1.3143 0.003 0.23% 16:59:42 USDCHF 3W FWD -19.38 -19.18 -19.34 -19.61 0.29 22:10:00 24-Jun - 1.15875B 1.15180A 1.15875B -0.0014 1.15605 0 24 Est. Vol Prior day OI High Low Open Last Settle Change Change Settle Last Open Low High Prior day OI Est. Vol june XXXXXXXXXX 5.0600%
EUR/JPY 156.62 156.62 156.83 155.06 -0.17 -0.11% 16:59:32 USDCHF 1M FWD -27.57 -27.27 -27.51 -27.55 0.33 22:10:00 24-Sep - - - - XXXXXXXXXX 1.16355 0 15 0 0 .06740B .05970A - .05970A 0.0644 -0.0015 1.06 0 0.00005 - - - - 0 0 june XXXXXXXXXX 5.0500%
AUD/USD 0.6677 0.6678 0.6767 0.6663 -0.0078 -1.15% 16:59:40 USDCHF 2M FWD -58.14 -57.57 -57.97 -57.72 -0.19 22:12:00 24-Dec - - - - XXXXXXXXXX 1.17095 0 8 0 0 .06240B .05470A - .05470A 0.0594 -0.0015 1.065 0 0.00005 - - - - 0 0 june XXXXXXXXXX 5.0500%
NZD/USD 0.6147 0.6153 0.6191 0.6117 -0.0028 -0.45% 16:59:28 USDCHF 3M FWD -86.46 -85.87 -86.33 -86.03 -0.06 22:24:00 25-Mar - - - - XXXXXXXXXX 1.1784 0 0 0 0 .05740B .04970A - .04970A 0.0544 -0.0015 1.07 0 0.00005 - - - - 0 0 june XXXXXXXXXX 5.0500%
EUR/GBP 0.8566 0.8569 0.8609 0.8536 -0.0026 -0.30% 16:59:40 USDCHF 4M FWD -115.38 -114.84 -115.33 -114.84 0.97 22:12:00 25-Jun - - - - -0.0013 1.186 0 0 0 0 .05240B .04470A - .04470A 0.0494 -0.0015 1.075 0 0.00005 - - - - 0 0 june XXXXXXXXXX 5.0500%
EUR/CHF 0.9773 0.9776 0.9815 0.975 -0.0029 -0.30% 16:59:28 USDCHF 5M FWD -143.84 -143.17 -143.81 -143.34 0.03 22:12:00 25-Sep - - - - -0.0011 1.19205 0 0 0 0 .04740B .03970A - .03970A 0.0444 -0.0015 1.08 0 0.00005 - - - - 0 0 june XXXXXXXXXX 5.0500%
AUD/JPY 96 96 96.84 95.25 -0.69 -0.71% 16:59:41 USDCHF 6M FWD -171.46 -170.66 -171.24 -170.67 2.84 22:15:00 25-Dec - - - - XXXXXXXXXX 1.19795 0 0 0 0 .04240B .03470A - .03470A 0.0394 -0.0015 1.085 0 0.0001 - - - - 10 0 june XXXXXXXXXX 5.0500%
GBP/JPY 182.64 182.84 182.95 181.26 0.3 0.16% 16:59:28 USDCHF 7M FWD -215.35 -201.35 -208.69 -208 -5.01 22:20:00 26-Mar - - - - -0.0006 1.2039 0 0 0 0 .03750B .02980A - .02980A 0.0345 -0.0014 1.09 0 0.0001 - - - - 0 0 june XXXXXXXXXX 5.0500%
CHF/JPY 160.21 160.21 160.44 158.49 0.26 0.16% 16:59:34 USDCHF 8M FWD -241.06 -227.06 -233.7 -233.64 -4.21 22:20:00 26-Jun - - - - XXXXXXXXXX 1.2099 0 0 0 0 .03250B .02480A - .02480A 0.0295 -0.0015 1.095 0 0.0001 - - - - 0 0
EUR/CAD 1.4359 1.436 1.4425 1.4318 -0.0047 -0.33% 16:59:28 USDCHF 9M FWD -258.38 -257.35 -257.89 -257.6 2.06 22:22:00 26-Sep - - - - XXXXXXXXXX 1.21595 0 0 0 0 .02750B .01990A - .01990A 0.0245 -0.0015 1.1 0 0.00015 - - - - 900 0 USD LIBOR
AUD/CAD 0.8802 0.8803 0.8897 0.8795 -0.0083 -0.93% 16:59:34 USDCHF 10M FWD -290.26 -275.26 -285.13 -284.17 1.94 22:22:00 26-Dec - - - - 0.00015 1.2221 0 0 0 0 .02260B .01520A - .01520A 0.0196 -0.0015 1.105 0 0.0002 - - - - 700 0 https:
www.global-rates.com/en/interest-rates/libo
american-dolla
american-dollar.aspx
CAD/JPY 109.04 109.05 109.09 108.02 0.23 0.21% 16:59:36 USDCHF 11M FWD -312.43 -295.43 -306.73 -306.89 -4.75 22:22:00 27-Mar - - - - 0.00035 1.22825 0 0 0 2 .01780B .01080A - .01080A 0.0148 -0.0015 1.11 0.00005 0.00045 - .00080B - .00080B 700 0 USD 6/23/23 6/22/23 6/21/23 6/20/23 6/19/23 The US Dollar LIBOR interest rate is the average inte
ank interest rate at which a large number of banks on the London money market are prepared to lend one another unsecured funds denominated in US Dollars. The US Dollar (USD) LIBOR interest rate is available in 7 maturities, from overnight (on a daily basis) to 12 months
NZD/JPY 88.35 88.39 88.59 87.48 -0.03 -0.03% 16:59:34 USDCHF 1Y FWD -330 -328.75 -329.82 -328.89 9.7 22:12:00 27-Jun - - - - 0.00065 1.23455 0 0 0 0 .01320B .00720A - .00720A 0.0104 -0.0014 1.115 0.0001 0.001 - .00200B - .00200B 2 0 USD LIBOR - overnight 5.0676% 5.0690% 5.0627% 5.0753% -
AUD/NZD 1.087 1.087 1.0941 1.0864 -0.0066 -0.60% 16:59:34 USDCHF 15M FWD -405.99 -380.99 -395.67 -392.7 -1.09 21:51:00 27-Sep - - - - 0.0009 1.24085 0 0 0 0 .00890B .00440A - .00440A 0.0066 -0.0012 1.12 0.0003 0.0022 - .00410B .00170A .00410B 0 0 USD LIBOR - 1 month 5.1484% 5.1504% 5.148% 5.15414 % 5.1627%
GBP/AUD 1.9039 1.9039 1.9098 1.8836 0.017 0.90% 16:59:41 USDCHF 21M FWD -514.89 -479.89 -503.79 -498.69 12.51 21:51:00 27-Dec - - - - 0.0012 1.24725 0 0 2 0 .00550B 0.0024 0.0024 .00550B 0.0038 -0.0009 1.125 0.0006 0.0044 0.0038 .00490B .00320A .00720B 1 6 USD LIBOR - 3 months 5.5441% 5.5419% 5.540% 5.52029 % 5.5143%
EUR/AUD 1.6311 1.6311 1.6338 1.6189 0.0095 0.59% 16:59:41 USDCHF 2Y FWD -568.78 -528.78 -552.76 -537.77 6.42 21:50:00 28-Mar - - - - 0.0015 1.2537 0 0 0 0 .00300B .00130A - .00130A 0.0019 -0.0007 1.13 0.0008 0.0075 - .01120B .00600A .01120B 0 0 USD LIBOR - 6 months 5.6903% 5.6826% 5.682% 5.67400 % 5.6564%
GBP/CHF 1.141 1.141 1.1453 1.1381 0.0004 0.04% 16:59:28 USDCHF 3Y FWD -756.16 -687.79 -731 -704.2 7.74 21:40:00 28-Jun - - - - 0.0018 1.2605 0 0 6 0 .00140B .00070A - .00070A 0.0009 -0.0004 1.135 0.0011 0.0115 - .01570B .00930A .01570B 0 0 USD LIBOR - 12 months 5.9253% 5.9011% 5.899% 5.89786 % 5.8951%
EUR/NZD 1.7731 1.7732 1.7812 1.7667 -0.0003 -0.02% 16:59:30 USDCHF 4Y FWD -925.44 -833.8 -921.92 -838.4 -3.51 21:40:00 0 10 - .00045A - .00045A 0.0004 -0.0002 1.14 0.0013 0.016 - .02040B .01330A .02040B 0 0
AUD/CHF 0.5992 0.5992 0.6059 0.5977 -0.0053 -0.88% 16:59:41 USDCHF 5Y FWD -1100.6 -990.6 -1064 -990.6 -1.89 21:40:00 6 0 - - - - 0.00015 -0.0001 1.145 0.0014 0.0207 - .02530B .01790A .02530B 0 0
GBP/NZD 2.0689 2.0705 2.0801 2.059 0.0061 0.30% 16:59:34 USDCHF 6Y FWD -1275 -1145 -1234 -1169 -49 21:32:00 0 0 - - - - 0.00005 XXXXXXXXXX 1.15 0.0014 0.0256 - .03030B .02270A .03030B 0 0 CHF SARON (Swiss Average Rate Overnight) is an interest rate published by the Swiss SIX Index AG. SARON can be seen as the average interest rate for loans issued in Swiss Francs (CHF) with a maturity of 1 day (overnight). SARON is a reference rate (benchmark rate) and an alternative to Swiss franc LIBOR.
USD/INR 81.958 81.958 82.084 81.91 0.045 0.06% 16:59:38 USDCHF 7Y FWD XXXXXXXXXX XXXXXXXXXX -1404 -1329 -280.46 21:03:00 0 0 - - - - CAB XXXXXXXXXX 1.155 0.0015 0.0306 - .03520B .02760A .03520B 0 0 SARON (Swiss Average Rate Overnight)
USD/CNY 7.1789 7.1809 7.1801 7.1795 0.0004 0.01% 16:59:32 USDCHF 8Y FWD -1622 -1462 -1572 -1488 -61 21:10:00 0 0 - - - - CAB 0 1.16 0.0015 0.0356 - .04020B .03250A .04020B 0 0 https:
www.global-rates.com/en/interest-rates/saron/saron.aspx
USD/SGD 1.3519 1.3524 1.3532 1.3439 0.0075 0.55% 16:59:55 USDCHF 9Y FWD -1795 -1620 -1744 -1652 -66 21:00:00 0 0 - - - - CAB 0 1.165 0.0015 0.0406 - .04520B .03750A .04520B 0 0
USD/HKD 7.8304 7.8305 7.8337 7.8276 -0.0001 0.00% 16:59:36 USDCHF 10Y FWD -1966 -1776 -1914 -1814 -70 21:20:00 0 0 - - - - CAB 0 1.17 0.0015 0.0456 - .05020B .04250A .05020B 0 0 Cu
ent interest rates
USD/DKK 6.8346 6.8369 6.8685 6.7967 0.0384 0.56% 16:59:54 USDCHF 15Y FWD -2882.2 XXXXXXXXXX XXXXXXXXXX XXXXXXXXXX -0.0066 22:24:00 0 0 - - - - CAB 0 1.175 0.0016 0.0506 - .05510B .04750A .05520B 0 0 june XXXXXXXXXX 1.4487%
GBP/CAD 1.6761 1.6761 1.6832 1.6739 -0.0004 -0.02% 16:59:36 USDCHF 20Y FWD XXXXXXXXXX XXXXXXXXXX XXXXXXXXXX XXXXXXXXXX -0.0061 22:24:00 0 0 - - - - CAB 0 1.18 0.0015 0.0555 - .06020B .05250A .06020B 0 0 june XXXXXXXXXX 1.4471%
USD/SEK 10.7135 10.7165 10.808 10.689 0.0245 0.23% 16:59:56 https:
www.cmegroup.com/markets/fx/g10/japanese-yen.contractSpecs.html 0 0 - - - - CAB 0 1.185 0.0015 0.0605 - .06520B .05750A .06520B 0 0 june XXXXXXXXXX 1.4455%
USD/ILS 3.6238 3.6288 3.6343 3.5813 0.0109 0.30% 16:47:01 june XXXXXXXXXX 1.4421%
USD/RUB 84.7 84.7 84.8393 83.6478 0.65 0.77% 16:50:00 Swiss Franc Futures - Contract Specs june XXXXXXXXXX 1.4405%
USD/MXN 17.158 17.189 17.2657 17.1371 0.0085 0.05% 16:59:55 june XXXXXXXXXX 1.4426%
USD/ZAR 18.7304 18.7625 18.7759 18.4849 0.2307 1.25% 16:59:56 CONTRACT UNIT 125,000 Swiss francs june XXXXXXXXXX 1.4459%
CAD/CHF 0.6807 0.6807 0.6832 0.6773 0.0003 0.04% 16:59:34 PRICE QUOTATION U.S. dollars and cents per CHF increment june XXXXXXXXXX 1.4439%
NZD/CAD 0.8097 0.8097 0.814 0.8081 -0.0027 -0.33% 16:59:36 TRADING HOURS CME Globex: june XXXXXXXXXX 1.4463%
NZD/CHF 0.5507 0.5515 0.5543 0.5488 -0.0016 -0.29% 16:59:34 Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. CT) with a 60-minute
eak each day beginning at 5:00 p.m. (4:00 p.m. CT) june XXXXXXXXXX 1.4454%
BTC/USD 30,682.00 30,683.00 31,430.00 29,835.00 731 2.44% 19:00:42 CME ClearPort: june XXXXXXXXXX 1.4425%
BTC/EUR 28,124.80 28,124.90 28,835.00 27,242.80 827.7 3.03% 18:57:56 Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. - 6:00 p.m. CT june XXXXXXXXXX 1.4466%
ETH/USD 1,890.79 1,890.80 1,936.42 1,861.01 19.47 1.04% 19:00:35 MINIMUM PRICE FLUCTUATION CME Globex:
0.00005 CHF increment = $6.25
Calendar spreads: XXXXXXXXXX CHF increment = $6.25 SWISS FRANC LIBOR THREE MONTH RATE
CME ClearPort: Website used to get CHF interest rateLinks to an external site. - LIBOR rates for CHF are no longer available. We can use this rate for this project
XXXXXXXXXXper CHF increment = $1.25 URL https:
tradingeconomics.com/switzerland/inte
ank-rate
PRODUCT CODE CME Globex: 6S
CME ClearPort: E1
Clearing: E1
LISTED CONTRACTS Quarterly contracts (Mar, Jun, Sep, Dec) listed for 20 consecutive quarters
SETTLEMENT METHOD Deliverable
TERMINATION OF TRADING Trading terminates at 9:16 a.m. CT, 2 business day prior to the third Wednesday of the contract month.
SETTLEMENT PROCEDURES CHF/USD Futures Settlement Procedures
POSITION LIMITS CME Position Limits
EXCHANGE RULEBOOK CME 254
BLOCK MINIMUM Block Minimum Thresholds
PRICE LIMIT OR CIRCUIT Price Limits
VENDOR CODES Quote Vendor Symbols Listing
http:
www.investing.com/cu
encies/streaming-forex-rates-majorshttps:
www.investing.com/cu
encies/usd-jpyhttps:
www.investing.com/cu
encies/gbp-usdhttps:
www.investing.com/cu
encies/usd-tryhttps:
www.investing.com/cu
encies/usd-chfhttps:
www.investing.com/cu
encies/usd-cadhttps:
www.investing.com/cu
encies/eur-jpyhttps:
www.investing.com/cu
encies/aud-usdhttps:
www.investing.com/cu
encies/nzd-usdhttps:
www.investing.com/cu
encies/eur-gbphttps:
www.investing.com/cu
encies/eur-chfhttp:
www.investing.com
ates-bonds/forward-rateshttps:
www.investing.com/cu
encies/aud-jpyhttps:
www.investing.com/cu
encies/gbp-jpyhttps:
www.investing.com/cu
encies/chf-jpyhttps:
www.investing.com/cu
encies/eur-cadhttps:
www.investing.com/cu
encies/aud-cadhttps:
www.investing.com/cu
encies/cad-jpyhttps:
www.investing.com/cu
encies/nzd-jpyhttps:
www.investing.com/cu
encies/aud-nzdhttps:
www.investing.com/cu
encies/gbp-audhttps:
www.investing.com/cu
encies/eur-audhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
american-dollar.aspxhttps:
www.investing.com/cu
encies/gbp-chfhttps:
www.investing.com/cu
encies/eur-nzdhttps:
www.investing.com/cu
encies/aud-chfhttps:
www.investing.com/cu
encies/gbp-nzdhttps:
www.investing.com/cu
encies/usd-inrhttps:
www.investing.com/cu
encies/usd-cnyhttps:
www.investing.com/cu
encies/usd-sgdhttps:
www.investing.com/cu
encies/usd-hkdhttps:
www.investing.com/cu
encies/usd-dkkhttps:
www.investing.com/cu
encies/gbp-cadhttps:
www.global-rates.com/en/interest-rates/sof
sofr.aspxhttps:
www.investing.com/cu
encies/usd-sekhttps:
www.investing.com/cu
encies/usd-ilshttps:
www.investing.com/cu
encies/usd-rubhttps:
www.investing.com/cu
encies/usd-mxnhttps:
www.investing.com/cu
encies/usd-zarhttps:
www.investing.com/cu
encies/cad-chfhttps:
www.investing.com/cu
encies/nzd-cadhttps:
www.investing.com/cu
encies/nzd-chfhttps:
www.investing.com/crypto
itcoin
tc-usdhttps:
www.investing.com/crypto
itcoin
tc-eurhttps:
www.global-rates.com/en/interest-rates/saron/saron.aspxhttps:
www.investing.com/crypto/ethereum/eth-usdhttps:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.options.htmlhttps:
www.fxstreet.com
ates-charts/usdchf/forecasthttps:
www.cmegroup.com/confluence/display/EPICSANDBOX/Swiss+Franchttps:
www.cmegroup.com
ulebook/files/position-limits-cme.xlsxhttps:
www.cmegroup.com
ulebook/CME/III/250/254/254.pdfhttps:
www.cmegroup.com/clearing/trading-practices
lock-trades.htmlhttps:
www.cmegroup.com
ulebook/files/special-price-fluctuation-limits.xlsxhttps:
www.cmegroup.com/tools-information/vendorSymbol.htmlhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-overnight.aspxhttps:
www.fxstreet.com
ates-charts/forecasthttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-1-month.aspxhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-3-months.aspxhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-6-months.aspxhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-12-months.aspxhttps:
tradingeconomics.com/switzerland/inte
ank-ratehttps:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.htmlhttps:
www.cmegroup.com/markets/fx/g10/japanese-yen.contractSpecs.htmlhttps:
www.investing.com/cu
encies/eur-usd
I. Initial data DC1
Template for Part 1 of project
Date when hedge is initiated
Students' names Cheyenne Miller, Alicia Mu
ay, Eduardo Zarate Friday, June 23, 2023
Garza-Gomez, Xavier: Must be a Friday (or Thursday if Friday was a holiday)
1. Cu
ency to hedge Swiss Franc
1a Cu
ency pair formed with the US dollar (as seen in OANDA, FXCM) USD/CHF
1b Date when hedge (trading) will be closed and all the calculations done Friday, June 30, 2023
GarzaX: Students must state the date when they will "close" the hedges/trades in this theoretical exercise.
Hint: it is the Friday (or Thursday if Friday is a holiday) after the initial date
1c Is this a direct quote in the spot market? (Y/N) N
2. Exchange rate of the cu
ency as typically quoted in FX markets XXXXXXXXXXUse the SPOT price from the Investing.com site BID ASK
0.8968 0.8972 Any cell in this color must be updated by students, Using links is strongly recommended (instead of typing the values)
2a Express the price as a direct quote (value of one unit of that cu
ency in dollars) XXXXXXXXXX
garzax: Calculated cell
If direct quote, then it's same as 2.
If indirect, then must calculate the inverse. XXXXXXXXXX
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 1.1244
Expiration month of future contract September-23
. Specify the size of the future (option) contracts 125000
GarzaX: Look in Contract Specifications
4. Forward points observed on this date. Use the Investing.com website for information. Select data for 1 week (SW). Students doing USDJPY must use an appropriate factor to convert pips. BID ASK
-7.54 -7.46
Horizon for Fwd quotes 1 week
5. Use the CME group website to obtain option price data. WEEK 5 JUN 2023
Garza-Gomez, Xavier: Must indicate
week/month/year of the option used
Specify the expiration week,month and year on the CME options that will cover the period you are interested in hedging
Strike
Garza-Gomez, Xavier:
The distance between strike prices must be at least 100 pips
Premium
5a. Choose a call option that is in the money and obtain its premium 1.115 0.0104
garzax: Previously quoted as cents.
With exception of EURUSD which was quoted in dollars, the JPY which was quoted as 100ths of a cent and the MXN, quoted in 1000ths of a cent.
Since 2023, CME shows premiums in dollars for all cu
encies
5b. Find the call option that is at the money and obtain its premium
Garza-Gomez, Xavier: ATM strike price is determined using the futures contract price that is linked to the option
1.125 0.0038
5c. Choose a call option that is out the money and obtain its premium 1.135 0.0009
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 1.135 0.0115
6b. Find the put option that is at the money and obtain its premium 1.125 0.0044
6c. Choose a put option that is out the money and obtain its premium 1.115 0.001
7. Use the Global Rates and Trading Economics websites to identify the interest rates
Interest rates Description
USD rate (Overnight) 5.0676%
Garza-Gomez, Xavier:
Make sure there is no space before the % symbol
If there is, go to the source sheet and manually remove it
Garza-Gomez, Xavier: Must indicate
week/month/year of the option used
Garza-Gomez, Xavier: Must be a Friday (or Thursday if Friday was a holiday)
Garza-Gomez, Xavier:
The distance between strike prices must be at least 100 pips
Garza-Gomez, Xavier: ATM strike price is determined using the futures contract price that is linked to the option
garzax: Previously quoted as cents.
With exception of EURUSD which was quoted in dollars, the JPY which was quoted as 100ths of a cent and the MXN, quoted in 1000ths of a cent.
Since 2023, CME shows premiums in dollars for all cu
encies
GarzaX: Students must state the date when they will "close" the hedges/trades in this theoretical exercise.
Hint: it is the Friday (or Thursday if Friday is a holiday) after the initial date
garzax: Calculated cell
If direct quote, then it's same as 2.
If indirect, then must calculate the inverse.
GarzaX: Look in Contract Specifications LIBOR - ON 1
Foreign cu
ency rate (shortest term found) 1.4487% SARON 1
https:
www.cmegroup.com/markets/fx/g10/japanese-yen.contractSpecs.html
Swiss Franc Futures - Contract Specs
https:
www.cmegroup.com/markets/fx/g10/japanese-yen.contractSpecs.html
Source data for DC2
Forex Rates Futures Options
Swiss Franc Futures - Settlements https:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.options.html#optionProductId=8123
http:
www.investing.com/cu
encies/streaming-forex-rates-majors http:
www.cmegroup.com/trading/fx/g10/japanese-yen_quotes_settlements_futures.html
Sunday, July 2nd, 2023 after market closure
Pair Bid Ask High Low Chg. Chg. % Time MONTH OPEN HIGH LOW LAST CHANGE SETTLE EST. VOLUME PRIOR DAY OI
EUR/USD 1.0912 1.0913 1.0913 1.0909 0.0003 0.03% 18:15:17 September 23 1.12075 1.1281 1.1179 1.1262 0.0058 1.12635 18,852 37,210
USD/JPY 144