a.Below is a quotation for CME Group Currency Futures Contract.

Open

High

Low

Settle

Change

Open interest

Currency Futures

Japanese Yen (CME) - 12,500,000; $ per 100

June

1.0994

1.0994

1.0828

1.0849

-0.0114

127,331

September

1.0996

1.1008

1.0846

1.0866

-0.0144

5,904

Canadian Dollar (CME) - CAD100,000; $ per CAD

June

0.9482

0.9641

0.9457

0.9615

0.0094

105,183

September

0.9482

0.9636

0.9453

0.9610

0.0094

9,962

British Pound (CME) - 62,500; $ per

June

1.4646

1.4772

1.4554

1.4643

-0.0020

138,199

September

1.4655

1.4774

1.4557

1.4646

-0.0020

10,974

Swiss Franc (CME) - CHF125,000; $ per CHF

June

0.8644

0.8676

0.8621

0.8655

-0.0003

46,450

September

0.8686

0.8701

0.8646

0.8679

-0.0004

3,496

Australian Dollar (CME) - AUD100,000; $ per AUD

June

0.8295

0.8413

0.8265

0.8354

-0.0014

104,151

September

0.8213

0.8326

0.8180

0.8268

-0.0013

6,247

Mexican Peso (CME) - MXN500,000; $ per 10MXN

June

0.77075

0.78175

0.76850

0.78000

0.00700

78,059

September

0.76475

0.77400

0.76175

0.77275

0.00725

751

Euro (CME) - 125,000; $ per

June

1.2216

1.2276

1.2175

1.2240

-0.0018

255,420

September

1.2229

1.2288

1.2189

1.2253

-0.0018

19,335

Euro/British Pound (CME) - 125,000; per

June

0.83300

0.83805

0.82800

0.83590

0.00010

11,107

September

0.83040

0.83855

0.83000

0.83665

0.00005

170

Euro/Japanese Yen (CME) - 125,000; per

June

111.18

113.05

111.09

112.82

1.01

7,309

September

112.50

112.71

111.60

112.78

1.01

527

Euro/Swiss Franc (CME) - 125,000; CHF per

June

-

1.7048

1.6860

1.6919

-0.0017

626

September

-

-

-

1.6875

-0.0015

3

i.Evaluate the face value of the open interests in for the month of June and September for Euro/Japanense yen futures contracts and Australian dollar futures contract.

ii.In September, Mexican peso futures contract has a price of $0.7725 per 10MXN. You believe the spot price in September will be $0.83800 per 10MXN.What speculative position would you enter into to attempt to profit from your beliefs? Quantify 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?

iii.Refer back to the previous question and assuming you believe the September spot price will be $0.70500 per 10 MXN. What speculative position would you enter? Justify your answer.