FX Futures Spreads Price Matrix
This tool allows you to see up to 20-minute delayed, top-of-book pricing in spreads of CME FX futures, data that you can subsequently use for easier comparison to prices of FX swaps.
FX futures spreads involve buying an FX futures contract with one leg and selling an FX futures contract with the other leg, providing a centrally cleared equivalent to forward-starting FX swaps. The tool uses the firm, credit agnostic, and no-last-look pricing of the CME FX futures order book and maps the prices of these spreads in a matrix to corresponding FX swaps, allowing you to compare prices at multiple points along the curve.
Prices are converted into OTC pip-equivalent by multiplying by 10,000 for AUD/USD, CAD/USD, EUR/USD, and GBP/USD. JPY/USD prices are multiplied by 1,000,000 for readability. Dates are the Last Trade Date for the futures contract. Delivery Dates (analogous to Value Dates) are two business days after the Last Trade Date for AUD/USD, EUR/USD, GBP/USD, and JPY/USD; for CAD/USD, the Delivery Date is one business day after the Last Trade Date.
Tradable, real-time pricing for these spreads is available via multiple front-end platforms, including CME Direct, Refinitiv, and Bloomberg. Find tickers and more information here.
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*Disclaimer: The data and output from this tool does not constitute investment advice and is not a personal recommendation from CME Group. Nothing contained herein constitutes the solicitation of the purchase or sale of any futures or options. Any investment activities undertaken using this tool will be at the sole risk of the relevant investor. CME Group expressly disclaims all liability for the use or interpretation (whether by visitor or by others) of information contained herein. Decisions based on this information are the sole responsibility of the relevant investor. Any visitor to this page agrees to hold the CME Group and its affiliates and licensors harmless against any claims for damages arising from any decisions that the visitor makes based on such information.
