GBP/JPY Hedge with Futures
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Thread: GBP/JPY Hedge with Futures

  1. #1
    Anyone know if it is possible to perform a 100% hedge of this GBP/JPY (long over the forex side) using Futures (to pay the brief side), and how?

  2. #2
    It won't work because the futures price carries a premium that incorporates the interest rate Because of carrying charge so It Will lose the amount os the interest Within the holding period

  3. #3
    I don't really think there are any furtures available on JPY from GBP.
    JPY futures agaist USD does exist on CME Globex and you can use it as a hedge for USD/JPY place which conveys the exact same interest as GBP/JPY at present.

    Remember that you should go long on both the spot and futures as the place is USDJPY but the futures contract is JPYUSD, you must also balance the number of futures contracts and number of lots for spot, they are not 1 to 1.

    After all these the futures premium as mentioned in the previous post will exist and perishes as the contract approaches its expiry.

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