Closing the Gap - Futures Edition

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Closing the Gap - Futures Edition

Pete Mulmat and Tom Sosnoff dissect the interest rates and price activity of the Mexican Peso, /6M, and the Canadian Dollar, /6C. Using this information and a ratio based off of notional value and implied volatility in each product, the duo sets up a futures pairs trade. Taking it one step further, Pete explains how to use the ETFs, FXC and EWW to set up a similar trade on a smaller scale.

MEXICAN PESO Contract Specs
  • Symbol: /6M
  • Contract Size: 500,000 PESOS
  • Delta: 5000000
  • Minimum Tick: $0.00001
  • Tick Value: $5
  • Expiration: March, June, September, December
CANADIAN $ Contract Specs
  • Symbol: /6C
  • Contract Size: 100,000 CAD
  • Delta: 1000000
  • Minimum Tick: $0.00005
  • Tick Value: $5

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