IN NUMBERS: ADV 2020

$81B traded in futures and options
$239B in open interest
$72B traded on EBS*
* Note: EBS total volume excludes FWDs and Swaps

More participants than ever are utilizing FX Link, the only central limit order book for FX swaps, as a source of additional liquidity and risk management in a capital efficient way. FX Link provides an all-to-all marketplace with firm pricing and central clearing to remove the FWD leg from your balance sheet.

Ten FCMs and eight Prime Brokers have onboarded to FX Link supporting client, house and agency business.

And now to provide greater flexibility to our clients, we have partnered with industry-leading technology providers to enable more choice in how downstream messaging can be consumed. We have connected to IHS Markit and the Refinitiv Trade Notification network as alternative methods to our existing post-trade channels, which include CME STP and Traiana, to consume trade messaging. We look forward to more strategic partnerships for FX Link distribution, execution, and integration in the coming months.

Explore FX Link

Despite the pandemic, CME FX futures repeatedly broke records for volume, open interest, and number of customers holding large open interest positions in 2020.

We reached our top 10 levels for open interest ever for EUR/USD, and although usage of FX futures has increased across multiple currency pairs, EUR/USD attracted the most new clients throughout the year.

FX Market Profile tool

Read a review assessing the impact of AUD/USD futures tick size change, using the FX Market Profile tool

Participants continue to benefit from our recent minimum price increment (MPI) reduction in AUD/USD futures. On December 9, we reached 312,546 contracts / $23.5B notional – the second highest volume day ever.

The reduction in AUD/USD futures from one tick (1.0) to half of a tick (0.5), along with other MPI cuts in quarterly roll spreads of G5 FX futures, have delivered enhanced price discovery and enabled customers to trade listed FX more cost effectively.

For AUD futures*:

• The top of book at the new MPI for 33% of the trading period
• On average, a 41% lower cost of execution

*as of 14 Jan 2021

With the ongoing impact of COVID-19 combined with geopolitical tensions affecting volatility, new analytics are affording traders more visibility than ever before into the FX marketplace.

Read article

Introducing CME Group Volatility Indexes (CVOL) ‒ a cross-asset family of implied volatility indexes that will be published daily, beginning with G5 FX pairs and 10-Year Treasuries.

Learn more