Kvaziobligatsii of currency


All the strength in simplicity

Turning to the futures market, we are immediately confronted with the problem of non-compliance of contracts used in the FOREX market and the futures market. Futures have a direct quote, and the size of contracts correspond 62.500 pounds and 12,500,000 yen. In a randomly selected point in time, January 14, 2002, with GBP / USD 1.4496, USD / JPY 131.84 and GBP / JPY 191.14 - June futures traded as follows: 143.58 lb (multiplier 100), 76.38 yen (multiplier 10000), which made the course GBP / JPY 187.98. Translated into dollar value futures contract on the pound was almost $ 90,000, and the yen - $ 95.5 thousand. Obviously, the use of futures we will have uncovered a risk if we trade the FOREX dollar contract for $ 100,000. If there is a possibility to use the contracts of other, smaller size, this problem can be removed. A different solution is to increase the size of the position to a point that the futures and cash positions match. It makes sense to use the mini-contracts. Of course, there's always an option to accept the residual risk that makes sense, if we are confident about "upstairs." So, what caused the situation when we bought a pound, sold the yen, trading originally $ 100 thousand, and the hedged position on the FOREX one short contract on the pound and a long one for the yen?

By 31 May, we might get a loss on the pound / euro rate of $ 6058 (GBP / USD 1.4543, USD / JPY 124.13 and GBP / JPY 191.14). Proceeds from the swap would provide $ 2490 (of course, if the broker charges a differential in this case is about 3.15% per year), which is negligible. However, the opposing positions in futures would bring a total profit of $ 4012 (the yen - a gain 5200, and the pound - a loss in 1187). Summing it all together, we have a total profit of $ 445. It could take place only in the case of interest calculation. It should also be noted: in the analysis of the price applied at the end of the day, and the hours of the trading session, futures and FOREX markets are different, so in reality, the results could be a little worse. Moreover, the influence of the spread of prices of demand and supply in this case was not considered.

By the way, recently opened a futures contract that allows you to trade the pound / yen, which eliminates the need to use different contracts (see, we could apply the EUR / GBP and EUR / JPY). Finally, an important question is how much more you need financial resources to hold these positions? If you focus on practice (shoulder on the FOREX market is 1:100), it is much larger than the very cash position. It is also important to consider whether the broker available positions in the aggregate. Although it is large brokerage houses easily provide access from one account and the market FOREX, and derivative instruments.

The following alternative - options

I can not ignore the options market, providing an opportunity to speculate as well as cover the risks. Options here can be countless. Let us examine just a few of them, which have bright features. First let's look how to behave options "in the money". We choose June to put the 150-pound (on futures), traded at 7.30 on January 14 ($ 4562), and the yen in June-72-call costs 5.00 ($ 6,250). By the end of May the first to bring us to a loss of $ 1,750, and the second - a profit of $ 4425. Total profit of $ 2675 does not cover the loss on the spot position. Strategy in the amount turned a loss of $ 892. As we see, the desire to reduce risk through options turned small but loss. This does not mean that if we used other option series, we would have made the same result. The most obvious advantage - the possibility of an early exit from the greater benefit than using futures as a tool to cover the risk.