CME Currency Futures Drift.

Discussion in 'Financial Futures' started by walterjennings, Jun 20, 2007.

  1. I know as a currency pair future approaches expiry, its value should move towards the spot price. Iv recently started seeing that instead of a smooth drift, the future price seems to jump towards the spot price around specific time.

    Like today (wednesday) the between close at 4:00pm and 7:00pm usd/jpy moved nearly 5000 yen closer to the spot price.

    Does anyone know if there is a methodology to this? Does the futures price generally correct every day at close? every week on wednesday at close? any insight into this would be very helpful to me. i know these movements are proportional to the interest rate differential between the two currencies, but I am not sure how the futures correct over time.