The question is about: **Futures returns in Yen (¥ millions): **Yen Gain/(Loss) on $ futures = (115.70 - 110.77) x 900 = 4.93 x 900 = ¥ 4,437 If the futures contract is expiring in September, wouldn’t you use the September spot price as opposed to the September futures price to determine gain on futures. I thought you only used the futures price if you need to unwind your position prior to maturity, hence introducing basis risk.
It was a 3 month contract and you were only 2 month in when the hedge was lifted.