Just paid 90.90 for the Jun '08 contract, that's with spot trading 93.18.
Looking on the long-term chart, if you think that trend of a rising Aussie is still intact (and with a slowing Japan and still high Aussie rates, I don't see why it shouldn't be), then the entry point today looks good...but then I thought that yesterday also...
[Admin note: just a reminder, I haven't figured out how to get forwards into the spreadsheet, so I'll just put in the spot rate and adjust when I close the trade, to keep P+L exactly right]
Yours,
2and20
2 comments:
getting futures using spot rates can be done
fwd rate =
spot rate
+/-
(date of fwdexpiry-today())/365
*
(interest rate spread)
A bit imprecise as fwd interest rates keep changing
I wouldnt short Yen, but at least your oil short will act as a hedge to long AUD, perhaps a lot safer than my long yen short oil
thanks dismale, my problem is not calculating the forwards, it's that i don't know the code to get live prices from yahoo (or anywhere else). if you know a way for me to pull in forward prices off the internet onto my Google Docs spreadsheet that would be great!
either that, or if you know how to pull in eurodollar rates i can estimate it as per your formula...i have a Sep '08 Eurodollar trade on, and I don't know the code for live prices for that either.
yes as you say, I plan to play commodities from the short side anyway, so it's a kinda hedge to an AUD/JPY long.
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