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A futures contract might also opt to settle against an index based on trade in a related spot market. ICE Brent futures use this method of settlement. Expiry (or Expiration in the U.S.) is the time and the day that a particular delivery month of a futures contract stops trading, as well as the final settlement price for that contract. For many ...
The IMM dates are the four quarterly dates of each year which certain money market and Foreign Exchange futures contracts and option contracts use as their scheduled maturity date or termination date. The dates are the third Wednesday of March, June, September and December (i.e., between the 15th and 21st, whichever such day is a Wednesday).
For a trade with a time to expiry of v days, the expiry date is the day v days ahead of the horizon date (unless it is a weekend or 1 January, in which case the date is rolled forward to a weekday) and for a trade with time to expiry of x weeks, the expiry date is the day 7x days ahead of the horizon date (with the same conditions as above).
Two-day settlement has been the convention in the off-exchange foreign exchange market well before exchanges moved to this convention. Government securities, stock options, and options on futures contracts settle on the next business day following the trade or T+1. Futures contracts themselves settle the day of the trade.
The Abaxx delivery date is the third Wednesday of every month, which is the same date that LME contracts expire, while the Abaxx daily settlement price occurs at 1330 London time, shortly after ...
For futures contracts specifying physical delivery, the delivery month is the month in which the seller must deliver, and the buyer must accept and pay for, the underlying. [1] For contracts specifying cash settlement, the delivery month is the month of a final mark-to-market. The exact dates of acceptable delivery vary considerably and will be ...
This is essentially 2 days before the settlement day. settlement date (or delivery date): This is the day when the difference is paid or received. It is usually one or two business days after the fixing date. contracted NDF rate: the rate agreed on the transaction date, and is essentially the outright forward rate of the currencies dealt.
For example, Peter buys 10 September CME Euro FX Futures for €1,250,000 (each contract worth €125,000), at $1.2713 /€. At the end of the day, the futures close at $1.2784 /€. The change in price is $0.0071 /€. As each contract is over €125,000, and he has 10 contracts, his profit is US$8,875. As with any future, this is paid to him ...