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Conclusions
- Callaway Golf currently uses option strategies in
its currency hedging. Therefore, although
the fractional futures hedge is the least costly,
it is not the most desirable.
- Based on our market views, our risk
parameters, and the cost of establishing an
option-based hedging strategy, we recommend the
Synthetic Bull Spread.
- While the Synthetic Short Strangle is also
appealing in that it is profitable at the current
Yen futures price, if the Yen volatility is to
increase dramatically, we may experience some
rather unfavorable outcomes.
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