Monday, April 27, 2009

USD/NZD FX contract renewed

Last month's USD/NZD FX contract was exercised against me. The strike price was USD1.00 = NZ$0.5756. Based on the prevailing spot rate this morning (0.5644), the loss on conversion was actually marginally less than the premium earned.

I have entered into a new contract as follows:

Currency pair: NZD/USD
Strike price: 0.5756
Spot price: 0.5644
Maturity: 27 May, 2009
Fixing date: 26 May, 2009
Implied yield: 11.375%

In effect I have written a slightly out of the money put option on the USD with a lower implied yield.

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