Japanese Yen
JPY/USD Futures
Normal Daily Settlements until Rollover DateÂ
CME Group staff determines the daily settlement of JPY/USD futures (6J) at 14:00 Central Time (CT) based on trading activity on CME Globex.
Lead Month
The lead month* is the expiry month and the contract expected to be the most active.
Tier 1:Â If three or more contracts trade in the lead month occur on CME 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:Â If two or fewer contracts trade between 13:59:30 and 14:00:00 CT, then the lead month settles to the time-weighted average (TWAP) of the midpoint of the bid and ask spread on CME Globex during this 30-second period.
Tier 3: If a bid and ask are not available on CME 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 Final Settlement
The final settlement price of the expiring contract for JPY/USD futures (6J) 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 quarterly contract month. The spread differential between the expiring contract and from the next deferred quarterly month is applied to the volume-weighted average price (VWAP) of CME Globex trades in the next deferred contract month during the 30-second settlement period between 9:15:30 and 9:16:00 a.m. CT to generate a final settlement price.
Additional DetailsÂ
JPY/USD (6J) futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 253).
Micro and Mini JPY/USD Futures
Normal Daily Settlement Procedure
The settlement in the Micro JPY/USD (MJY) and Mini JPY/USD (J7) futures contracts are derived by directly copying the regular sized JPY/USD (6J) futures contract.
Example
If the 6JU4 settles 80505, then the settlement for the corresponding micro and mini contracts, (MJYU4 and J7U4), would also be 80505.
Normal Final Settlement Procedure
The final settlement in the Micro JPY/USD (MJY) and Mini JPY/USD (J7) futures contracts are derived by directly copying the JPY/USD (6J) contract.
Example
If the 6JU4 settles 80505, then the final settlement for the corresponding micro and mini contracts, (MJYU4 and J7U4), would also be 80505.
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