How much more expensive is it to hold a long euro v usd position on OANDA than in CME futures? I refer to the financing OANDA charges to hold a lower interest currency over a higher interest currency. That difference, as I understand it, is priced into the future, only more fairly (or so I assume). An answer per 100k euro would be useful.
financing expense
- Thread starter Chood
- Start date
Leverage is not free.
Fair value of Futures = Spot + financing - dividends.
Financing cost is some spread over LIBOR. CME publishes roll cost for Equity futures which shows implicit cost of borrowing. It will be similar for Euro imo.
http://www.cmegroup.com/trading/equity-index/paceofroll/main.html
Fair value of Futures = Spot + financing - dividends.
Financing cost is some spread over LIBOR. CME publishes roll cost for Equity futures which shows implicit cost of borrowing. It will be similar for Euro imo.
http://www.cmegroup.com/trading/equity-index/paceofroll/main.html
According to the Oanda website, with a 100K position you should earn USD2.43 or pay USD6.97 at the current exchange rate.
If the Oanda and CME futures are priced efficiently, based on the above info, with CME futures should be pricing in about USD2.27 (2.43-6.97)/2
This means with Oanda you will be losing about USD4.7 daily compared to the CME.
If the Oanda and CME futures are priced efficiently, based on the above info, with CME futures should be pricing in about USD2.27 (2.43-6.97)/2
This means with Oanda you will be losing about USD4.7 daily compared to the CME.