What is the profit or loss on the futures position

Assignment Help Financial Management

Reference no: EM131959416

Japanese Yen Futures Settlements

Spot price = 113.74 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 01/30/17 03:20 PM (CST)

MTH/ ------------- DAILY -------------------- PT ----- PRIOR DAY ------

STRIKE OPEN HIGH LOW LAST SETT CHGE EST.VOL SETT VOL INT

MAR17 87165 88255 87100 88155 88080 +1040 149867 87040 136815 190361

JUN17 87720 88655B 87545A 88570B 88495 +1030 1005 87465 508 8863

SEP17 88275 89065B 88090A 88985B 88940 +1010 7 87930 57

DEC17 ---- 89500B ---- 89420A 89425 +1010 88415 22

MAR18 ---- 90010B ---- 89960A 89975 +1010 88965 39

JUN18 ---- 90335B ---- 90335B 90555 +1015 89540 11

SEP18 ---- ---- ---- ---- 91145 +1020 90125

DEC18 ---- ---- ---- ---- 91740 +1020 90720

MAR19 ---- ---- ---- ---- 92395 +1030 91365

JUN19 ---- ---- ---- ---- 93105 +1040 92065

SEP19 ---- ---- ---- ---- 93825 +1050 92775

DEC19 ---- ---- ---- ---- 94560 +1065 93495

MAR20 ---- ---- ---- ---- 95305 +1080 94225

JUN20 ---- ---- ---- ---- 96060 +1090 94970

SEP20 ---- ---- ---- ---- 96830 +1105 95725

DEC20 ---- ---- ---- ---- 97610 +1115 96495

MAR21 ---- ---- ---- ---- 98405 +1130 97275

JUN21 ---- ---- ---- ---- 99210 +1140 98070

SEP21 ---- ---- ---- ---- 100030 +1155 98875

DEC21 ---- ---- ---- ---- 100865 +1170 99695

TOTAL EST.VOL VOLUME OPEN INT

TOTAL 150879 137323 199353

B. On the day of the June 2017 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 SEP17 futures settlement price? Assume that the 7-month risk free rate in the US is 0.56% per annum (continuously compounded).

Reference no: EM131959416

Questions Cloud

Explain the importance of emotional intelligence as a leader : 1) Explain the importance of emotional intelligence as a leadership trait. 2) Describe the techniques a leader can utilize to reduce free riding.

How much money can jason make using covered interest parity : How much money can Jason make using Covered Interest Parity (CIP)? First, you must show whether you invest in US or in Switzerland.

Restaurants consider offering senior citizen discounts : Why is fall a better time than winter for senior citizens to travel? Why should Branson hotels and restaurants consider offering senior citizen discounts?

Prepare any necessary adjusting entries at december : Prepare any necessary adjusting entries at December 31, 2011, for Yacht Company's year-end financial statements for each of the above separate transactions.

What is the profit or loss on the futures position : On the day of the June 2017 futures expiration, the spot exchange rate is 110Yen/$. What is the profit/loss on the futures position?

What is internal marketing : 1. What is internal marketing? 2. What is external marketing? 3. What is market analysis?

Ever-increasing speed : Technology is moving at an ever-increasing speed, and this means that new products enter and leave the market faster than ever. What are some products

What would you expect your monthly payment to be : It is now January of 2057. You have achieved your goal of funding your retirement account with $2,000,000. You have decided to retire.

What would her monthly payment be : Oprah Winfrey has closed on a 42-acre estate near Santa Barbara, California, for $49,200,000. If Oprah puts 30% down and finances at 7% for 30 years

User Account

All Pages