CME Group calculates and publishes fixing prices for the 21 foreign exchange (“FX”) futures contracts in Table 1 at 10:00 a.m. New York time, with the exceptions of MXN, RUB and CNH which follow local conventions.1
| 1.) | Australian Dollar/US Dollar ("AUD/USD") Futures |
|---|---|
| 2.) | British Pound Sterling/US Dollar ("GBP/USD") Futures |
| 3.) | Canadian Dollar/US Dollar ("CAD/USD") Futures |
| 4.) | Czech Koruna/Euro ("CZK/EUR") Cross Rate Futures |
| 5.) | Czech Koruna/US Dollar ("CZK/USD")Futures |
| 6.) | Euro/British Pound Sterling ("EUR/GBP") Cross Rate Futures |
| 7.) | Euro/Japanese Yen ("EUR/JPY") Cross Rate Futures |
| 8.) | Euro/Swiss Franc ("EUR/CHF") Cross Rate Futures |
| 9.) | Euro/US Dollar ("EUR/USD") Futures |
| 10.) | Hungarian Forint/Euro ("HUF/EUR") Cross Rate Futures |
| 11.) | Hungarian Forint/US Dollar ("HUF/USD") Futures |
| 12.) | Israeli Shekel/US Dollar ("ILS/USD") Futures |
| 13.) | Japanese Yen/US Dollar ("JPY/USD") Futures |
| 14.) | Mexican Peso/US Dollar ("MXN/USD") Futures |
| 15.) | New Zealand Dollar/US Dollar ("NZD/USD")Futures |
| 16.) | Polish Zloty/Euro ("PLN/EUR") Cross Rate Futures |
| 17.) | Polish Zloty/US Dollar ("PLN/USD")Futures |
| 18.) | South African Rand/US Dollar ("ZAR/USD") Futures |
| 19.) | Swiss Franc/US Dollar ("CHF/USD") Futures |
| 20.) | Russian Ruble/US Dollar ("RUB/USD") Futures |
| 21.) | US Dollar / Offshore Chinese Renminbi (“USD/CNH”) Futures |
For US dollar-based fixings2, the methodology for calculating the FX fixing price is composed of several "tiers", which are consistently applied to each nearby FX futures contract. Depending upon the transaction or bid-ask spread pricing history of each FX futures contract on the CME Globex electronic trading platform during the daily calculation interval, FX fixing price calculations will be based on one of three FX fixing price tiers in Table 2. For example, on a given day, FX fixing prices for the Euro and Japanese yen might be based on Tier 1, the British pound and Swiss franc on Tier 2, and the Czech koruna and Israeli shekel on Tier 3.
CME Group calculates and distributes FX fixing prices on Merquote and the CME Group website with price precision equal to one-tenth of one price increment on a rounded basis.3
The Exchange computes FX fixing prices daily during a 60-second calculation interval (i.e., 9:59:00 to 9:59:59 a.m. New York time).
For cross rate fixings4, CME Group uses the fixing prices of two underlying US dollar-based futures contracts to compute the fixing price of the corresponding cross rate futures contract by dividing the two underlying US dollar-based fixing prices by each other to calculate the appropriate cross rate fixing price. For example, the Exchange will divide the fixing price of EUR/USD futures by the fixing price of GBP/USD futures to compute the fixing price of EUR/GBP cross rate futures.
| Tier 1 | CME Group will calculate and disseminate a Volume-Weighted Average Price (“VWAP”) of the underlying futures contract if twenty (20) or more contracts are traded on CME Globex during the 60-second interval ending at 10:00 a.m. New York time. However, if nineteen (19) or fewer contracts are traded by the end of the 60-second calculation interval, then Tier 2 applies. For the liquid FX futures contracts, fixing prices typically will be determined via Tier 1 procedures. |
|---|---|
| Tier 2 | CME Group will calculate and disseminate the midpoint of the CME Globex bid-ask spread during the 60-second interval ending at 10:00 a.m. New York time on a real time basis – sampling at least once per second (i.e., a minimum of 60 observations). The CME Group FX fixing price is the average of the midpoints. If no bid-ask spreads on CME Globex are available during the 60-second interval, then Tier 3 applies. |
| Tier 3 | If there are no sales or bid-ask prices on CME Globex during the 60-second interval preceding 10:00 a.m. New York time at expiration, CME Group shall derive the CME FX fixing price (as a synthetic futures price) from quote vendor spot rates and appropriate maturity forward points. |
On June 9, 2019, CME Group changed the expiration time on the last trading day of weekly, monthly, and quarterly expiries of the FX option contracts on the corresponding FX futures contracts in Table 1 from 2:00 p.m. Chicago time to 10:00 a.m. New York time. The Exchange amended the expiration time on the last trading day of these FX options to be in alignment with the global 10:00 a.m. New York time expiry convention of the over-the-counter FX options market.
The FX option contracts on the corresponding FX futures contracts in Table 1 feature European-style exercise only. On option expiration days (usually Fridays), these FX options will auto-exercise into the corresponding underlying FX futures contract or be abandoned based upon the expiring FX option’s moneyness relative to the fixing price. Since the Exchange does not permit contrary instructions in FX options, the auto-exercise and abandonment procedures in Table 3 are final.
All options that are in-the-money relative to the FX fixing price are automatically exercised by the Clearing House on the day of expiration for the option. All out-of-the-money options are abandoned by the Clearing House on the day of expiration for the option. An option is in-the-money if the FX fixing price of the underlying futures contract lies above or is equal to the exercise price in the case of a call or lies below the exercise price in the case of a put.
| Moneyness | Call Options | Put Options |
|---|---|---|
| In-the-money (“ITM”) | Exercised | Exercised |
| At-the-money (“ATM”) | Exercised | Abandoned |
| Out-of-the-money (‘OTM’) | Abandoned | Abandoned |
Automatic exercise of all in-the-money FX options combined with automatic abandonment of all out-of-the-money FX options enable CME Clearing, clearing firms, and customers to know precisely which expiring FX options will be assigned FX futures positions shortly after 10:00 a.m. New York time. With this knowledge and certainty, clearing firms and their customers will know to hedge or trade out of the newly assigned FX futures positions at a time when the CME FX futures markets and the over-the-counter (“OTC”) FX markets are both open for trading. Since CME FX options expire on their last trading day at the same time as expiring OTC FX options, participants in the OTC FX options market can look at their combined OTC FX options, CME FX futures, and CME FX options books at the same time to make appropriate trading decisions. This compatibility makes CME FX options appealing to OTC FX options traders.
- The MXN/USD ZYM calculation occurs at 11:30 am Central Time (12:30 pm NY Time), RUB/USD ZRU calculation occurs at 12:30pm Moscow (4:30am CT or 3:30 am CST), and the USD/CNH calculation occurs at 3pm Tokyo / 2pm Shanghai
- US dollar-based fixings include the AUD/USD, CAD/USD, CHF/USD, CZK/USD, EUR/USD, GBP/USD, HUF/USD, JPY/USD, ILS/USD, MXN/USD, NZD/USD, PLN/USD, ZAR/USD and USD/CNH futures contracts.
- CME Group calculates the FX fixing prices out to the following decimal place locator (“DPL”): three (3) DPL for EUR/JPY futures; five (5) DPL for AUD/USD, CAD/USD, CHF/USD, EUR/CHF, GBP/USD, ILS/USD, NZD/USD, PLN/EUR, PLN/USD and USD/CNH futures; six (6) DPL for EUR/USD, EUR/GBP, CZK/EUR, CZK/USD, MXN/USD, and ZAR/USD futures; and seven (7) DPL for HUF/EUR, HUF/USD, and JPY/USD futures.
- Cross rate-based fixings include the CZK/EUR, EUR/CHF, EUR/GBP, EUR/JPY, HUF/EUR, and PLN/EUR futures contracts.
- CME Group only uses Tier 1 or Tier 3 to calculate the daily fixing prices of the CZK/USD, HUF/USD, ILS/USD and PLN/USD futures contracts. The Exchange will calculate and disseminate a VWAP of the underlying futures contract if twenty (20) or more contracts are traded on CME Globex during the 60-second interval ending at 10:00 a.m. New York time. However, if nineteen (19) or fewer contracts are traded by the end of the 60-second calculation interval, then Tier 3 applies.
© 2024 CME Group Inc. All rights reserved.