A Czech company has a payable of 1,5 mil EUR that has got a settlement at the end of the current month and at the same time it is expecting a payment of 1,5 mil EUR at the half of the current month however the payment is not sure. Utilising the Futures market, hedge the company´s position(s), calculate a gain/loss from the hedging and alter the number of needed lots using the delta futures if you have been given the following data:

• current SR (EUR/100CZK) 6,000

• current FP (EUR/100CZK) 5,700

• 1 lot = 100 000 EUR

• the expected payment has been received on the 20th of the current month

• on the 20th – SR (EUR/100CZK) 5,500

• on the 20th – FP (EUR/100CZK) 5,100

  • $\begingroup$ Well, if you hedge (I am not sure if it makes sense or not), clearly you have to remove the hedge, i.e.close the futures position on the 20th when you receive payment. At that point you have no exposure. $\endgroup$ – noob2 May 19 at 19:17

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