ZAR/USD Futures
Normal Daily Settlement
The daily settlements of ZAR/USD futures (6Z) are determined by CME Group staff based on trading activity on CME Globex and relevant information available in the cash market.
Lead Month
The lead month is the expiry month and the contract expected to be the most active.
Tier 1: If 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 trades do not occur on CME Globex between 13:59:30 and 14:00:00 CT, 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
CME Group staff determines the settlement of the expiring ZAR/USD futures (6Z) futures contract by following the regular daily settlement procedure.
Additional Details
ZAR/USD (6Z) futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 259).
USD/ZAR Futures
Normal Daily Settlement
The settlement in the USD/ZAR (ZAR) futures contract is derived as the reciprocal of the ZAR/USD (6Z) contract, rounded to the nearest tradable tick.
For Example:
If the 6ZU5 settles 79200, then the settlement for the corresponding mini contract, ZARU5, would be 126263 (1 / .079200 = 12.6263 after rounding to the nearest tradable tick).
Normal Final Settlement
The final settlement in the USD/ZAR (ZAR) futures contract is derived as the reciprocal of the ZAR/USD (6Z) contract, rounded to the nearest tradable tick.
For Example:
If the 6ZU5 settles 79200, then the settlement for the corresponding mini contract, ZARU5, would be 126263 (1 / .079200 = 12.6263 after rounding to the nearest tradable tick).
Additional Details
USD/ZAR (ZAR) futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 259L).
If you have any questions, please call the CME Global Command Center.