Right, that's what I thought... Now you think about it for a moment... Would the two most recent 3m LIBOR rates (for simplicity, rates for the 7Jun2017 - 7Sep2017 period) be the right ones to use to obtain the March 2018 FX fwd?
If you thought I was talking about 9 months from now, why would you say look at the 3m LIBOR? Anyway, I have checked the futures forwards with the spots and it maintains 1.08%. Since nobody has shown me any numbers, and are parsimonious in explanation, I'll stick with my calcs. If you have something of value to add, I would love to hear it.
You need to be more attentive, amico... I didn't say "look at 3m LIBOR". I said that you would also need 3m LIBOR fixings, alongside the STIRs. I am still mystified by what it is that you want. You have asked about the process by which you can compute the fwds. I have been attempting to describe it to you. And now it turns out that you just want "numbers". What "numbers"?
I am mystified by your ignorance about "what numbers". You have obviously not been the past three pages, where I made my calcs and said exactly which numbers and calcs I want or want to have checked.
Personally I wouldn't bother with "the numbers". The forward/future price that is relevant can be backed out of the option prices via put-call parity (since CME FX options are now European exercise). You only really want to build a model from scratch using the interest rates if you actually plan to manage the interest rate risk separately from the spot risk. I'd guess you don't. Since the options are European and you can calc F (the implied future price) you can just use Black 76 to get the implied vols and greeks. This is all written in the understanding that there's a market in Mar18 FOPs which I'm not sure there is, at least not very bid/ask friendly. Certainly nothing showing right now about 845am London time. The CME website also gives you access to Quikstrike which you can use to check your own calculations.
Amico, I think you've got the wrong end of the stick here... I am, believe it or not, attempting to help you. It's not the other way round, in case you were confused. If you don't want my help, that is perfectly fine with me. I wish you the best of luck!
May I ask which broker and which market data you use? Could you take a screenshot of the unfriendly spread to make sure if by some reason I am looking at the wrong thing?
IB currently showing no quotes for me for Mar'18 GBU FOPs on GLOBEX. I see quotes out to Dec'17 GBU. Futures Mar19'18 @GLOBEX showing no trades today and 1.3053-1.3073 bid-ask.