Follow the roll

Use our Pace of the Roll tool, to watch the roll evolve in real time – before, during, and after the contracts roll off.

Connect

Our goal for the roll is to ensure participants can transfer their positions cost efficiently (determined by how much open interest could be rolled, how closely, to the minimum price increment (MPI)) in the scale they need to, finding the depth of liquidity they require, and that the number of end users participating increases – demonstrating the health, value, and viability of our markets.

The December 2021 roll period was characterized by an improvement in volumes across the majority of the G5 FX pairs and improved roll efficiency, evidenced by increased transference of open interest across all G5 pairs.

$76.4B 2021 ADV | $270B record ADV in Sept 2021
$300B record futures OI Dec 2021
+12.2% in LOIH vs. 2020
326 new entrants / new ccys traded
20+ block and EFRP facilitators
+36.3% in F&O block and EFRP activity
+388% in options blocks volume
88% OI rolled (+10% versus average of prior four rolls)

Record gross positions held (LOIH)
$150B gross large open positions for the first time
EUR and JPY total positions and net long positions

$35.3B ADV (Dec) in AUD
+50% YoY LOIH (June) in EM futures

AUD futures tick cut – 1 to 0.5
NZD futures tick cut – 1 to 0.5
EUR FX Link tick cut – 1 to 0.05
FX Link on Bloomberg, connected to IHS Markit and RTN

+327% users
CVOL | FXMP | FXSRM | FXVOLC
FXO Vol Converter historical data now available in CME DataMine