Forex to Futures Basis Spread

CPTrader · Sep 11, 2003

ETs,

Can anyone advise me on the best and most accurate way for calculating the current basis spread between the spot FX rates and the Futures FX rates? Or is there a website where I can go to daily to get this?

Many Thanks.

CPTrader

CPTrader · Sep 12, 2003

No ideas or answers on this? Can anyone help?

AAAintheBeltway · Sep 12, 2003

Wouldn't you just take the inverse of the spot and subtract it from the futures?

bone · Sep 12, 2003

Not possible for you. The physical cash market being made for you is wide of the basis... courtesy of the Banks. No arbitrage for you here. So sorry.

CPTrader · Sep 17, 2003

Quote from bone:

Not possible for you. The physical cash market being made for you is wide of the basis... courtesy of the Banks. No arbitrage for you here. So sorry.

I am not seeking arbitrage opportunities, even though I know that can be done - but requires immense resources.

I simply want to be able to convert futures forex prices using the appropriate basis spread to the spot market equivalent.

So for example if the Dec Yen is at 8644 today September 17, 2003 - what should be the equivalent spot rate?

I would like to know a way of calculating the basis myself daily and/or a website/service where I can go for daily basis spread updates.

Any ideas? Thanks

bone · Sep 17, 2003

You'll need to get the 3-month money market rate for Japanese bills.

msfe · Sep 17, 2003

simply put:

subscribe to real-time spot FX quotes and CME/GLOBEX currency futures quotes and compare them diligently ...

... or calculate the spot-futures "spread" on the basis of the interest rate differentials for 3-month time deposits and the remaining time between "now" and the futures expiration date.

Using Currency Futures to Hedge Currency Risk

http://www.cme.com/files/FXFOWCME.pdf

CPTrader · Sep 17, 2003

Quote from msfe:

simply put:

subscribe to real-time spot FX quotes and CME/GLOBEX currency futures quotes and compare them diligently ...

... or calculate the spot-futures "spread" on the basis of the interest rate differentials for 3-month time deposits and the remaining time between "now" and the futures expiration date.

Using Currency Futures to Hedge Currency Risk

http://www.cme.com/files/FXFOWCME.pdf

This is what I have been doing, but I feel it is not accurate enugh -- say for example how do I account for the spot FX 3-5 pips spread, etc.

For this reason , Ive been looking for a more accurate way to calculate the spread. How do I get 3-month time deposit rates. Is there a website/service that calculates this?

JayS · Sep 17, 2003

http://www.global-view.com forex forum is probably the best place to get answers to these questions.

CPTrader · Sep 17, 2003

Quote from JayS:

http://www.global-view.com forex forum is probably the best place to get answers to these questions.

This was a wonderful suggestion. In less than two minutes I found my answer.

Check out http://www.global-view.com/imm.htm

Thank you very much!