Initial Data Collection

Part 1 of the Class Project – Initial data collection
This part of the project is worth 10 points. Students in the small groups will work over the third
weekend of the course to collect and process all the information needed for the group projects.
They must submit the processed Excel file by Monday. Please obtain information after market
closes on Friday afternoon (4:00 PM) but before the market opens on Sunday.
Instructions
Students will refer to the two videos prepared by instructor to obtain and process the data for
their own currency pair. They will use the template provided and fill the “Source data for DC1”
sheet with relevant images, URLs and data. Then, students will input the required information in
the “DC1” sheet of the Excel template.
These are the items needed for the project:
I. FIRST SET OF DATA
1. Currency to hedge
1a Currency pair formed with the US dollar (as seen in OANDA)
1b Date hedge (trades) will be closed and all the calculations done 1 week after DC1
1c Is this a direct quote in the spot market? (Y/N)
2. Exchange rate of the currency as typically quoted in FX markets
Use the Forward quotes and the SPOT price quotes from
investing.com
BID ASK
2a Express the price as a direct quote (value of one unit of that
currency in dollars)
3. One or three-month future rate as of this date (use whatever period
covers the second data collection period) Report the futures contract
settlement price reported on the CME Group website
Expiration month of future contract
. Specify the size of the future (option) contracts
4. Forward points observed on this date. Use the Investing.com
website for information. Select data for 1 week ahead. BID ASK
Horizon for Fwd
quotes 1 week (SW)
5. Use the CME group website to obtain call option price data.
Specify the expiration month on the CME options that will cover the
period you are interested in hedging Strike Premium
5a. Choose a call option that is in the money and obtain its premium
5b. Find the call option that is at the money and obtain its premium
5c. Choose a call option that is out the money and obtain its premium6. Use the CME group website to obtain put option price data.
Use the same expiration month you chose for call options Strike Premium
6a. Choose a put option that is in the money and obtain its premium
6b. Find the put option that is at the money and obtain its premium
6c. Choose a put option that is out the money and obtain its premium
7. Use the Global Rates website to identify the LIBOR rates LIBOR rates
Overnight 1-week
USD rate for the horizon selected
Foreign currency rate for the horizon selected
Important:
Distance between ATM and ITM and between ATM and OTM must be at least 100 pips (the
equivalent of 1 cent or 1 yen)
Remember that ATM (at the money) is the option that has the strike price closest to the FUTURES
settlement price. ITM (in the money) is the option that has a positive payoff if it expires right now
and OTM (out of the money) is the option that has a zero payoff if it expires right now.
Students must include an image of the contract specifications as shown in sample file
In addition to the information above, students will capture an image of the currency forecast found in
FXStreet.com.
Please refer to sample data file to obtain the URL.
Processing must be done over the weekend and the deadline for submission is Monday midnight.