1. For the currency pair trades, i.e. buy BPU0 sell JYU0, they are both against the USD. Wouldn't it be the same just to do the BP/JY cross in the forex markets? What are your thoughts on this matter and is there reason you choose the futures to do the cross instead?
With backgrounds in the futures business, we have always done our research and published strategies on CME forex (vs US$) futures (those orginally traded on the floor) contracts rather than cash currencies or the newer listed futures crosses, the latter having minimal (or no) liquidity. Given that MRCI has never conducted research on cash markets or crosses, we cannot legitimately say how closely either will follow spreads between currencies but seen through the prism of the US$. One would think they would do so relatively well, but that's all we can suggest.
2. Where are the trading strategies for the eurusd, usdjpy & goldusd?
1. An MRCI strategy, to Buy June Eurocurrency is actually buying the CME September EURUSD;
2. An MRCI strategy to Buy June Eurocurrency/Sell June Japanese Yen is buying EUR/USD and selling JPY/USD;
3. An MRCI strategy to Buy June Gold is simply buying June Gold futures, which are priced in US dollars.
3. I got a question concerning the spread strategies. For example the strategy Long BPM1 short SFM1: why don't you choose the GBPCHF Future that is traded at Globex Wouldnt this be easier?
The GBP/CHF may be a good trading vehicle for real-time traders to use in trying to take advantage of the research on that spread. However, in doing the research itself, we need the history that the BP and SF futures provide. Further, because we have not done research on the pairs themselves, we do not know how they perform relative to spreads between the individual futures.
4. I am taking a look at the Cad/Jpy seasonal and was wondering what the scale was on the left axis?
Because the C$ and yen futures differ in size, we can accurately portray spread movement only in terms of contract equity differences --- which would show you how it would affect your trading account once you had assumed a position . The minimum increment for the C$ is $10.00; that for yen is $12.50. Thus, spreads between them cannot be represented in terms of nominal price differences. The scale to the left represents the difference in in contract equity values, as expressed in US$.
