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What are currency (or FX) futures?

Currency futures, also known as foreign exchange (FX) futures, are standardized contracts for the purchase and sale of currencies for future delivery at predetermined exchange rates.

Understanding Currency Pairs

Base Currency: First currency in the pair (what you're buying/selling) Terms Currency: Second currency in the pair (what you're paying with).

Example: EUR/USD at 1.1250

  • Buying 1 euro costs 1.1250 U.S. dollars
  • Base currency: EUR
  • Terms currency: USD

Pricing and Basis Relationships

FX Futures Pricing Formula

Futures prices are based on:

  • Spot exchange rate
  • Interest rate differential between currencies
  • Time to expiration

Formula: Futures Price = Spot Rate × (1 + Terms Rate × Days) ÷ (1 + Base Rate × Days)

Basis Calculation

Basis = Futures Price - Spot Price

Positive Carry: When base currency interest rate > terms currency rate

  • Futures trade at discount to spot
  • Example: Higher USD rates vs. EUR rates

Negative Carry: When terms currency rate > base currency rate

  • Futures trade at premium to spot
  • Cost of holding position reflected in futures price

Convergence at Expiration

  • Futures prices tend to converge to spot prices at expiration
  • Time decay reduces basis as expiration approaches

Most Actively Traded Contracts

Euro/USD Futures (6E)

  • Contract size: €125,000
  • Quoted in U.S. dollars per euro
  • tick size: $6.25

E-mini Euro FX Futures (E7)

  • Contract size: €62,500
  • Quoted in U.S. dollars per euro
  • tick size: $3.125

Micro Euro FX Futures (M6E)

  • Contract size: €12,500
  • Quoted in U.S. dollars per euro
  • tick size: $1.25

British Pound/USD Futures (6B)

  • Contract size: £62,500
  • Quoted in U.S. dollars per British pound
  • tick size: $6.25

Micro British Pound/USD Futures (M6B)

  • Contract size: £6250
  • Quoted in U.S. dollars per British pound
  • tick size: $.625

Japanese Yen/USD Futures (6J)

  • Contract size: ¥12,500,000
  • Quoted in U.S. dollars per yen
  • tick size: $6.25

E-mini Japanese Yen/USD Futures (J7)

  • Contract size: ¥6,250,000
  • Quoted in U.S. dollars per yen
  • tick size: $6.25

Micro Japanese Yen/USD Futures (MJY)

  • Contract size: ¥1,250,000
  • Quoted in U.S. dollars per yen
  • tick size: $1.25

Canadian Dollar/USD Futures (6C)

  • Contract size: CAD $100,000
  • Quoted in USD per CAD
  • tick size: $10.00

Micro Canadian Dollar/USD Futures (MCD)

  • Contract size: CAD $10,000
  • Quoted in USD per CAD
  • tick size: $1.00

Australian Dollar/USD Futures (6A)

  • Contract size: AUD $100,000
  • quoted in USD per AUD
  • tick size: $10.00

Micro Australian Dollar/USD Futures (6A)

  • Contract size: AUD $10,000
  • quoted in USD per AUD
  • tick size: $1.00