The FX Report
FX Futures | FX Options | FX Link
In this edition: Unique liquidity, clear benefits: Learn how to access what only CME Group FX can deliver. Explore the latest product developments including USD/CNH options and the ability to trade FX futures relative to the 4:00 p.m. WMR fixing, forces driving adoption of our products, changes in our market and the wider FX marketplace.
- 26 Apr 2023
- By CME Group
Cleared FX futures and options at CME Group reached all-time record single-day volume and open interest in March. These records were underpinned by the unique liquidity available to our diverse ecosystem of users during times of market volatility, and the increasing recognition of the benefits of using cleared FX futures and options.
| FX futures and options | Contracts | Approx. Notional ($) |
|---|---|---|
| Record FX F&O single-day volume | 3.2M | $297B |
| Record FX F&O single-day open interest | 3.3M | $298B |
| Record FX block and EFRP single day-volume | 274K | $25.7B |
Source: CME Group data as of March 2023
The Full FX analyzed the record results of FX futures and options.
The unique and primary liquidity available in Mexican Peso futures at CME Group has enabled a surge of buy-side adoption, with open positions increasing +170% in March 2023 vs. March 2022. A new single-day volume record of $9.2 billion and all-time open interest record of $12.7 billion was set for MXN/USD futures in March.
Our latest case study discusses how a pension fund can use Exchange for Related Positions (EFRPs) to mitigate their key service provider risk related to their FX overlay manager, allowing the fund to transform their bilateral OTC FX forward exposure quickly and accurately into centrally cleared, capital-efficient FX futures.
OTC-style execution, same clear benefits: FX block and EFRP liquidity provider list grows
Trade CME Group centrally cleared FX products OTC-style with 20+ liquidity providers to access the potentially significant capital, margin, and operational benefits of clearing.
Managing offshore renminbi risk?
Trade options on USD/CNH futures and take positions in an increasingly important global currency pair. These European-style expirations are physically deliverable into the underlying quarterly futures, giving traders more flexibility to manage exposure.
Read the FAQ
In our latest article, we discuss a number of factors and information sources that should be considered to help make an informed assessment on the available liquidity, total cost to trade, and ultimately, the most efficient place to execute a given trade.
Trading against benchmark rates and managing fixing risk is a hugely important part of the global FX market. FX Basis Trade at Index Close (BTIC) and BTIC+ allows customers to gain direct exposure to the WMR benchmark rate via a cleared, regulated, all-to-all FX futures order book, hours or days in advance. In our latest case study, we discuss how this new mechanism works.
The March 2023 roll period was characterized by strong growth in quarterly roll volumes and improvements in roll efficiency, as evidenced by increased transference of open interest across G5 pairs. March roll activity was up across the G5 pairs, with ADV in the last week of the roll period +11% vs. the prior four roll periods.
Bookmark the FX Quarterly Roll Analyzer Tool to help optimize your futures roll strategy.
| PAIR | OI ROLLED (MAR 2023) | OI ROLLED (PRIOR 20Q) | CHNG. VS. AVG. |
|---|---|---|---|
| EUR/USD | 88% | 79% | 9% |
| JPY/USD | 84% | 73% | 11% |
| GBP/USD | 82% | 74% | 8% |
| AUD/USD | 78% | 71% | 7% |
| CAD/USD | 79% | 72% | 7% |
Source CME Group data as of March 2023
| PAIR | MAR 2023 | % OF TIME AT MPI |
|---|---|---|
| EUR/USD | 0.22 | 90% |
| JPY/USD | 0.22 | 90% |
| GBP/USD | 0.53 | 94% |
| AUD/USD | 0.27 | 65% |
| CAD/USD | 0.22 | 90% |
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