Figure 1: G5 FX Open Interest
Source: CME Group

Within the last full week of trading prior to expiry, the most active day for the roll across the G5 currencies was Wednesday, with Thursday being slightly more active for CAD/USD. On Wednesday September 14, U.S. $69 billion in notional value was moved from September to December.

Figure 2: Combined Spread Trade Volume - G5 Futures
Source: CME Group

These roll volumes are in addition to the $36 billion per day on average that was traded in the outright September and December futures markets during this period.

Looking more closely within the trading day, the data shows that roll activity is heavily focussed in the prime European and North American trading hours, with the cross-over period between the two time zones being the most active period. 

Figure 3: Average Hourly Spread Volume - G5
Source: CME Group

Across the combined G5 FX futures, the most active hour in the last full week before the expiry came between 2:00 a.m. and 3:00 a.m. Central Time, when $8.8 billion was moved between Sep-22 and Dec-22 contract months using CME Globex calendar spreads.

Figure 4: Hourly Spread Volume - G5
Source: CME Group

OTC (block) vs. CLOB: Can large roll trades be executed in the CLOB?

While a couple of very large spread block trades were recorded during the period, overall block trades represented only 3.1% of the overall spread volume. This is in part because the depth of liquidity in the CME Globex orderbook allowed for many larger trades to be executed electronically. 

Many trades, which would be large enough to be executed as block trades, were transacted through the orderbook. In fact, 78% of the volume traded as a spread on CME Globex was large enough to be traded as a block. Moreover, 44% of spread volume was in a trade, which was 10 times the block trade threshold (with the block threshold for EUR/USD being EUR 18.75 million).

Looking at hourly average quoted size shows how the liquidity available on the CME Globex orderbook developed. During the core hours of the roll in the week of September 12, the average quoted bid-offer size across the G5 currency pairs was between $1.5 and $2.0 billion.

Figure 5: Combined G5 Bid-Offer Quoted Size
Source: CME Group

Liquidity can also be demonstrated by looking at the quoted bid-offer spread. Even with the 50-60% reductions in the minimum price increment for G5 calendar spreads that was made several years ago, CME Globex spread markets were frequently quoted at the minimum increment allowing for enhanced price discovery and reduced cost of trading for end user participants.

Bottom line

In total, $210 billion was transferred in CME Group futures Sep-Dec spread trades among the G5 currency pairs in the three weeks prior to the September futures expiry, which helps to reinforce that the listed FX market provides a large pool of liquidity to assist with price discovery and complementary liquidity for customers to consider. With the year-end turn looming and the impacts of SA-CCR continuing to be understood, access to additional liquidity that results in a cleared, netted future that can assist with optimising the impacts of both SA-CCR and UMR may become increasingly relevant.

Useful resources

CME Group has a Pace of the Roll tool, which provides an analysis of the progress of the quarterly roll as it takes place.


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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