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).