I want to setup a pairs trade with the Japanese yen as the quote currency and Mexican peso as the basis currency. (long MXP vs JPY)
2 /M6J contracts, notional is 1,250,000 JPY = 10966.5*2 = 21933 USD equivalent
1 /6M contract notional is 500,000 MXP = 23934.75 USD equivalent
Would I be short 2 /M6J and long 1 /6M? Would the volatility of this trade be roughly around the historical volatility of the japanese yen versus the mexican peso?