IN NUMBERS: H1 2021

$79.7B traded in futures and options
$264.1B in open interest
+28% increase in open interest YoY
$62B traded on EBS*
* Note: EBS total volume excludes forwards and swaps

The FX Market Profile tool empowers informed trading decisions – showing key insights into OTC, futures, and swaps markets across 18 currency pairs.

Recently, FX Market Profile was enhanced with historical data, futures volume data, additional currency pairs, more depth of book, and FX Link data, providing a complete view of the FX market in one location.

With FX Market Profile, traders can gain insights into:

• What is the top of book spread? How does it differ between markets? And how does it change over the course of the day?
• What time of day is each marketplace most active? When might it be the most efficient to execute orders?
• How much liquidity is there available at top of book? How does this extend across 10 levels?
• How has the liquidity profile changed over set time periods up to six months?

Check out a EUR/USD case study

Benefits of the FX Market Profile include:

• Data from 18 currency pairs
• 10 levels of market depth
• Configurable to multiple timeframes, including 5-minute granularity
• Daily, weekly, or monthly averages available
• Download data in Excel or CSV formats

View the enhanced FX Market Profile

CME FX Link, the first anonymous and automated connection between CME FX futures and the OTC FX marketplace, is now available on Bloomberg.

On July 20, FX Link achieved single-day volume record in GBP/USD and USD/CAD of $1.5B and $1.1B, respectively. This demonstrates FX Link's value as the only cleared and capital-efficient pool of firm liquidity for FX swaps. Supported by a diversified, firm liquidity pool with no last look, FX Link has provided many OTC market participants with an alternative vehicle to manage OTC swap exposures, which leverages existing OTC workflows.

Through the integration with Bloomberg, a larger group of market participants is now able to view and execute FX swaps in G5 currency pairs using FX Link. Additionally, Bloomberg’s support of non-native order types enables users to leverage icebergs and customizable execution algorithms to support execution of larger order sizes.

How to find prices – Bloomberg Security Identifier

Construction:

“LK” + <Currency Pair> + <CME Expiry Month Code> + <Expiry Year (YY)>

Discover FX Link

Following the success of MPI reductions of 50%-60% in outright Australian Dollar FX futures, as well as in the quarterly roll spreads for all the G5 currency pairs, CME Group plans to reduce the MPI for New Zealand Dollar FX futures.

The MPI will be cut from one tick (1.0) to half of a tick (0.5) in Globex. For block trades, the MPI remains unchanged at one tenth of a tick (0.1).

In November 2020, CME Group reduced the MPI in Australian Dollar FX futures from 1 to 0.5 tick. As of early July, this enhancement resulted in a ~45% reduction in the cost of execution and an 8.6% increase in average daily volumes compared to pre-cut levels. The increase in volumes was supported by the addition of over 20 new participants, comprised of a diverse set of over-the-counter (OTC) end-user customers.

Learn more

Introducing Micro Japanese Yen (USD/JPY), Canadian Dollar (USD/CAD), and Swiss Franc (USD/CHF) FX futures in the OTC quoting convention ‒ conveniently sized for the individual investor and providing an efficient, cost-effective new way to fine-tune your FX exposure and enhance your trading strategies.

View the full suite of Micro FX