OCT - Dollar Futures


US Dollar futures trading specifications


Dollar

Underlying asset

US Dollar

Trading hours

10:00 am to 3:00 pm / Second trading session: 5 minutes

Contract size

U$S 100.000.-

Minimum trading unit

1 contract

1 contract

Quotation

Pesos per dollar to 4 decimal places

Minimum price fluctuation

0.0005

Tick value

$ 50.- (100.000 x 0.0005)

Closing price determination

Art. 13.2 of the Operational Regulation and amendments. The minimum amount to determine closing price is 5 contracts (U$S 500,000.-)

Final settlement (fixing)

At the choice of both partes (prior to execution)

  • Dollar Com. “A” 3500, or whichever replaces it
  • Dollar EMTA

Daily MTM calculation

First day:

MTM (t) = MO x [PN – PC (t)]

Following days:

MTM (t) = MO x [PC(t-1) – PC (t)]

Where

MO: Number of contracts x Contract size

PN: strike price

PC (t): closing price corresponding to day "t" reported by MAE for OCT Trades

PC (t-1) : closing price corresponding to day "t-1" reported by MAE for OCT Trades

Final Settlement Price Calculation

Fixing = MO x [PC(t-1) – PF]

Donde

MO: Number of contracts x Contract size

PC (t-1) : closing price corresponding to day "t-1" reported by MAE for OCT Trades

PF: Fixing price

Trade valuation

CC x VC x PN

Where

CC: Number of contracts

VC: Contract size

PN: Traded price

Impact on credit lines

(set in dollars)

Valuation x (PA /100) / PN

Where

Valuation: see previous

PA: Utilization percentage

PN: Traded price

Impact on credit lines

(set in pesos)

Valuation x (PA /100)

Where

Valuation: see previous

PA: Utilization percentage

Impact on guarantees

Valuation x PG

Where

Valuation: see above

PG: Guarantees percentage



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