Question:
Using the quotations in Exhibit 7.3, note that the June 2019 Mexican peso futures contract has a price of $0.05143 per MXN. You believe the spot price in June will be $0.05795 per MXN. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. 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?
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EXHIBIT 7.3
June
Sept
Open
Currency Futures
Japanese Yen (CME)-¥12,500,000; $ per 100%
90320
91005
Canadian Dollar (CME)-CAD 100,000; $ per CAD
75125
75500
June
Sept
British Pound (CME)-£62,500; $ per £
1.3182
1.3243
CME Group Currency Futures Contract Quotations
High
Low
June
1.3245
Sept
1.3298
Swiss Franc (CME)-CHF 125,000; $ per CHF
1.0090
1.0169
June
Sept
June
Sept
Australian Dollar (CME)-AUD 100,000; $ per AUD
7080
7141
7094
7149
June
Euro (CME)-€125,000; $ per €
June
Sept
.90440
91005
75350
.75500
June
Sept
Mexican Peso (CME)-MXN 500,000; $ per MXN
05142
1.12720
1.13610
1.13260
1.14100
Euro/Japanese Yen (ICE-US)-€125,000; \ per €
June
124.802
125.52
85485
1.0118
1.0181
Q
Euro/British Pound (ICE-US)-€125,000; £ per €
85800
85940
Euro/Swiss Franc (ICE-US) €125,000; CHF per €
June
1.1174
1.1208
.90135
90840
75030
.75260
1.3169
1.3238
1.0083
1.0159
7065
7083
05134
1.12720
1.13610
124.68
85245
85740
1.1173
Settle
90230
90875
75110
.75265
1.3206
1.3263
1.0093
1.0179
7128
.7141
05143
1.13100
1.13955
125.35
125.45
85645
85920
1.1206
Change
-.00070
-.00070
00045
00045
0043
0043
0054
.0054
00405
.00405
55
57
0035
Open interest
153,601
144,458
3,190
144,222
73,541
148,024
227,270
480,009
8,844
0
27,741
54
10,623