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INR/USD Futures

Normal Daily Settlement Procedure

Daily settlement of INR/USD futures (SIR) is determined by CME Group staff based on trading activity on CME Globex during the 30 second window ending on the designated settlement time.

Lead month

The lead month is the expiry month and the contract expected to be the most active.

Tier 1:   If three or more trades in the lead month contract occur on Globex between 13:59:30 and 14:00:00 CT, then the contract settles to the volume-weighted average price (VWAP) of trades occurring during this 30-second period.

Tier 2:   If two or fewer trades occur between 13:59:30 and 14:00:00 CT, then the lead month settles to the midpoint of the bid and ask on Globex during this 30-second period.

Tier 3:   If a bid and ask are not available on Globex during this period, then CME staff uses quote vendor spot rates and forward points to International Monetary Market (IMM) dates to determine the lead contract’s synthetic daily settlement.

Back months

All back months will settle to interpolated prices from WM Reuters. The settlements will be normalized against the Lead Month settle vs. the interpolated price for the lead month from WM Reuters. All settlements for back months will be validated against any spread markets involving the lead month.

Normal daily settlements from “rollover date” to termination of trading day

From the rollover date to termination of trading (usually a five-day period), the second contract month (the next contract month in expiration cycle after the lead month) is settled using Tier 1 and Tier 2 calculations instead of the lead month. The lead month contract is settled using Tier 3 methodology.

The settlement procedure is changed during this five-day period because the first deferred contract month is more liquid than the lead month near expiration.

Final Settlement Procedure

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/III/250/279.pdf

Additional Details

INR/USD futures (SIR) futures are financially settled upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 279).


Micro INR/USD Futures

Normal Daily Settlement Procedure

The settlement in the Micro INR/USD (MIR) futures contract is derived directly from the settlement in the corresponding INR/USD (SIR) futures contract.

For Example:

If the SIRU5 settles 15428, then the value of the corresponding Micro Indian Rupee/USD, MIRU5, would be 1.5428.

Normal Final Settlement Procedure

The settlement in the Micro INR/USD (MIR) futures contract is derived directly from the settlement in the corresponding INR/USD (SIR) futures contract.

For Example:

If the final settlement in the SIRU5 is 15428, then the final settlement in the corresponding Micro Indian Rupee/USD, MIRU5, would be 1.5428.


If you have any questions, please call the CME Global Command Center.


Note: In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.