A common question among currency traders on TFEX is why Futures prices referencing exchange rates differ from the Spot prices of those currency pairs. Information from the Futures and Options team at Bualuang Securities states that TFEX offers trading in five currency pairs, each with differing prices.
This article aims to explain why Futures prices and Spot prices differ, and which currency pairs have Futures prices that should be higher or lower than the Spot prices, so traders can set buying and selling prices correctly and appropriately.
The reason Futures prices of exchange rates differ from Spot prices is due to the differing interest rates between the two countries. According to the interest rate parity theory, the interest rate differential between two countries equals the difference between the forward exchange rate and the Spot price. Thailand's interest rate is 1.00%, lower than the U.S. rate of 3.50-3.75%.
Where Futures Price is the Futures price of the currency pair,
Spot Price is the exchange rate of the currency pair,
R quote is the interest rate of the quote currency's country,
R base is the interest rate of the base currency's country,
and d is the remaining duration of the contract.
Using the Currency Futures calculation formula shown in Figure 3, the theoretical Futures price can be calculated from the data as follows: Spot Price = 32.12, R quote = 1.00%, R base = 3.75%, and d = 70.
From this calculation, it is evident that the USD Futures trading price closely matches the trading board price. Additionally, considering the interest rates of various countries (U.S. at 3.50-3.75%, Eurozone at 2.00%, Thailand at 1.00%, and Japan at 0.75%) as of 20 Apr 2026, when Currency Futures were traded on TFEX, the Futures prices compared to Spot prices are shown in the chart below.
This article has clarified why Currency Futures prices differ from Spot prices, and which currency pairs have Futures prices that should be higher or lower than Spot prices. However, despite these differences caused by varying interest rates, ultimately as time passes and the contract approaches expiry, Futures prices converge toward the Spot prices.
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