Qn about ETF and futures hedging strategy

Discussion in 'Trading' started by afx111, May 13, 2011.

  1. afx111

    afx111

    Hi guys,

    Thinking of possibility in arb opportunity in SPDR gold ETF in Japan...

    1) Long SPDR Gold ETF in Japan: ~11500 * 1030 = 11,845,000 JPY
    2) Short the Gold Futures in CME: ~1500 * 100 = 150000 USD

    assuming JPYUSD ~ 0.0124, contract size is 12,500,000 JPY

    my question is what is my effective FX exposure and how many JPYUSD contracts should i hedge myself against currency risk????

    thanks!
     
    #1     May 13, 2011
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