Normal Daily Settlement
Daily settlement of MXN/USD futures (6M) is determined by CME Group staff based on trading activity on CME Globex.
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, the settlement period, 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.
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 Final Settlement
The final settlement price of the expiring contract for MXN/USD futures (6M) is determined on the last day of trading at 9:16 a.m. Central Time (CT).
The settlement price of the expiring contract is derived from the more actively traded, next deferred contract month. The spread differential between the expiring contract and from the next deferred month is applied to the volume-weighted average price (VWAP) of CME Globex trades in the next deferred contract month during the 30-second closing range between 9:15:30 and 9:16:00 a.m. CT to generate a final settlement price.
MXN/USD (6M) futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 256).