This work investigates the hedging performance of futures contracts in two asymmetric markets, peso/dollar traded at the Mexican derivatives market (MexDer); and dollar/ peso traded in the Chicago Mercantile Exchange (CME). Value at Risk and Expected Shortfall enhanced by GARCH (1,1) modeling was applied. The left and right tails of the futures return series are examined, for both short and long positions. The period analyzed comprises from October 2016 to June 2017, partitioned in three subperiods; the results obtained for each market are compared, and finally their statistical validity is tested applying Kupiec backtesting. Overall, hedging in the CME is more effective, albeit the MexDer outperforms that market several times. However, all metrics (with and without GARCH modeling added) show important weakness below the 99 percent confidence level.