Sellers Should Go Short in Futures to hedge

Buyers should go long in Futures to Hedge

Initial Futures Price= 0.625 Initial Futures Price 1.2325

Spot 0.5985
Spot 1.225
2-M Futures 0.6025
2-M Fut 1.245
If not hedged 29925000.00
Payable of 50,000,000 EUR
If I hedge 29925000.00
Plus Futures Profit/:oss PMTin Spot Market 61250000.00
Gain 1125000
31050000.00 Futures Profit/loss 625000
0.621
-60625000.00
-1.2125
Spot 100 Calculate d1 and d2
Exercise 100
Time 6 mths Use the Normsdist Function to Compute N(d1) and N(d2)
r 10% p.a Price Call and PricePut
Div 5% pa
Vol 30%p.a. d1 ln(S/X) (r-delta + (sigma*sigma)/2)(T-t)/sigma*root (T-t)

d2 d1-sigma*root(T-t)

d1 0 0.0475 0.223917

d2 0.011785

57.40568 48.00869 call - put equals Stock - PV of X

9.396991
call - put equals stock*exp(-delta*time) - PV of X

call-put equals PV of stock (using Foreign Risk-less rate)

Instead of Delta use Rf
me) - PV of X

reign Risk-less rate)

S is 185 -0.077962 0.015 0.212132 p is (r-d)/(u-d)
X is 200 1-p (u-r)/(u-d)
r is 4.5% d1 -0.296804
Rf is 6% C [pCu + (1-p)Cd]/r
Time 6 mths d2 -0.508936
Sigma 30%
0.383308 0.305399 p = ((r/rf)-d)/(u-d)

N(-d) 0.616692 0.694601

135.8295 110.7162 P c+PV(X) - PV(S)

25.11329
25.11312
r 4.50%
rf 6% 266.4 66.4
S 185
X 200 222 29.4829
u 1.2 11.48938
d 0.8 185 13.091 177.6 0
2 periods to maturity 31.67079
Calls European 148 0
51.80019
2 period European Put 118.4 0

C-P -18.57979 29.48287

-18.49665 13.09096
 0

22.4

81.6