OCTOBER 2020

The FX Report

FX Futures | FX Options | FX Link

In this edition, you can find out more about our latest developments, why they've been conceived, and how they're being used, by staying connected to the changes in our market. Stay informed on noteworthy CME FX updates.

Stay connected to developments at CME FX

IN NUMBERS: Q3 2020

$79.5B traded in FX futures and options
$244B in FX open interest
$63.2B traded on EBS*

* Note: EBS total volume excludes FWDs and Swaps

Record open interest in EUR/USD

Minimum Price Increment (MPI) reductions of 50-60% in the G5 currency pairs have led to record levels of open interest combined with elevated levels of risk transference during the September roll – with EUR/USD leading the trend, breaking through its open interest barrier for the 10th time in 2020 and reaching more than $121B.

New MPI reduction: Coming in AUD/USD on Nov 23

To enable more participants to benefit from improved cost efficiencies, we are reducing the MPI (Minimum Price Increment) in AUD/USD on November 23 from 1.0 to 0.5.

Read the SER

Large open interest holders: Rising

There was a September surge in open interest underpinned by the largest-ever net long positions by asset managers in both EUR and JPY – reaching 1 trillion Yen for the first time against the US dollar.

Largest-ever single trade in FX options: GBP/USD of $2.2B

Investors turn to options to manage risk events such as the US election, and in this instance, the Brexit year end transition period deadline ‒ turning to the depth of our liquidity pool and the safety and capital efficiency of our listed FX options in times of uncertainty.

FX options: Early listings of expiries to manage US election risk

We’ve listed the following three weekly contracts on G5 currencies early, so participants can manage risk ‒ before and after the US election.

Week 1 Monday option expiring November 2, 2020
Week 1 Wednesday option expiring November 4, 2020
Week 2 Friday option expiring November 13, 2020

EM FX: Growth in BRL leads the way

BRL (ADV +37.3%), RUB (+29.9%), and ZAR (+50.2%) saw robust growth in YTD average daily volumes vs. 2019.

See how

The EBS Report

Read everything you need to know about technology, products, and functionality developments

Quant Analytics: Expanding to include FX futures starting November 2020

In a major milestone for the integration of EBS cash and CME listed FX futures, users will be able to see how these two markets compare over time, at top-of-book, and across 11 currencies.

In our Markets

SUBSCRIBE: THE FX REPORT

Each quarter, we publish The FX Report, which assembles all of the key news, views, and stats the broking community needs to know.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs).
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

Markets Home

Market Data Home

Services Home

Insights Home

Education Home