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Figure 3. Self-regulatory Process.

We had to re-draw this chart to correct it – please double-check

CNBV

Exchange (OA)*

Clearing House

(OA)*

Clearing Members

Trading

Proprietary

Members

Account

Clearing Members Third Party

Account

Traders

Trading

Traders

Members

Traders

Traders

  • *

    Self Regulated Organization

Calculation of Futures Prices

Although the price of a futures contract is determined by supply and demand on the Exchange, it is also affected by other financial variables. The variables that most affect the price of the future are the price of the underlying asset, the interest rate, and the carry cost (time and storage costs).

So the price of a dollar future depends on the price of the dollar, interest rates in pesos and dollars, and time. Similarly, the price of a wheat future depends on the price of wheat, interest rates and the cost of storing the wheat.

To illustrate how to determine the price of the dollar future, let us assume we want to know at what future price we can buy dollars when the spot price (St) is 9 pesos per dollar, the interest rate in pesos (Rmex) is 20%, and the interest rate in dollars (Rus) is 9%.

In general, the formula for calculating the price of a futures contract on the dollar is:

Future Price= St *

(1+ ((Rmex/360)*t)) ________________ (1+ ((Rus/360)*1))

If the time is 6 months (t = 180), the future price (F) of a dollar would be 13.78 pesos.

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