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# How to do the carry trade with the futures (IB flavor)

Discussion in 'Forex' started by Nym, Dec 14, 2012.

1. ### Nym

I would like to get familiar with the carry trade using the futures and i would like to have your help for understanding if I am doing something wrong.
Can you try follow this example with me?

Let's try to implement the carry trade between EUR and CHF

spot price: EUR.CHF 1.2077

Future prices of NYBOT EURO IN SWISS FRANC (RZ@NYBOT)

17/12/2012 1.208 Z2
18/03/2013 1.207 H3
17/06/2013 1.206 M3
16/09/2013 1.205 U3

Multiplayer 125000

Solution using the spot price:

1) convert 103,502.525 EUR in 125.000 CHF using the spot price
2) long U3 (the math is easier)
Case A wait settlement time (spot price 1.23)
A.1) U3 ---> +3,125 chf value in euro: 2,540.65
A.2) convert 125.000 chf in 101,626.016 EUR
A.3) profit = A.1+A.2 - Initial capital = 664.141 EUR
Case B wait settlement time (spot price 1.20)
B.1) U3 ---> -625.00 chf value in euro: -520.83
B.2) convert 125.000 chf in 104,166.667 EUR
B.3) profit = A.1+A.2 - Initial capital = 143.311 EUR
Case C wait settlement time (spot price 1.10)
C.1) U3 ---> -13,125.00 chf value in euro: -11,931.818
C.2) convert 125.000 chf in 113,636.364 EUR
C.3) profit = A.1+A.2 - Initial capital = -1,797.979 EUR

It looks like that i am making something wrong here ... can you help me figure out where the problem is?

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