- 27 Feb 2024
- By CME Group
Against the backdrop of continued economic growth and the uncertain global interest rate environment, Mexican Peso (MXN) and Brazilian Real (BRL) futures at CME Group recently set new highs for volume and open interest. These records were driven by heightened client participation and increased support from liquidity providers. Over 6,000 users from nearly 90 countries actively traded BRL and MXN futures at CME Group in 2023.
| Average Daily Volume | Year-on-year (%) | Average Daily Open Interest | Year-on-year (%) | |
|---|---|---|---|---|
| MXN futures | $2.7 billion | 25.7% | $7.7 billion | 6.6% |
| BRL futures | $382 million | 57.5% | $1.6 billion | 116% |
| LatAm (MXN + BRL) futures | $3.1 billion | 28.9% | $9.3 billion | 16.9% |
Source: CME Group data as of Dec. 2023
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The December roll period was characterized by strong improvements in roll liquidity, as evidenced by increased top-of-book (TOB) depth and improvements in TOB execution costs across G5 pairs during the primary roll week. December roll spread average TOB depth across the G5 pairs was ~$1.5 billion, +128% vs. the prior four roll periods, while the G5 pairs were quoted at the MPI (typically 0.2 futures ticks) approximately 97%-99% of regular trading hours in the primary roll week.
| PAIR | DECEMBER 2023 | PRIOR 4Q | CHNG. VS. AVG. |
|---|---|---|---|
| EUR/USD | $1.1 | $0.8 | +39% |
| JPY/USD | $1.1 | $0.2 | +365% |
| GBP/USD | $3.1 | $1.0 | +194% |
| AUD/USD | $0.5 | $0.4 | +13% |
| CAD/USD | $1.9 | $0.9 | +105% |
Source: CME Group
| PAIR | December 2023 | % OF TIME AT FUTURES MPI |
|---|---|---|
| EUR/USD | 0.21 | 97% |
| JPY/USD | 0.21 | 97% |
| GBP/USD | 0.50 | 99% |
| AUD/USD | 0.21 | 97% |
| CAD/USD | 0.20 | 99% |
Source: CME Group
Note: All data and figures as of December 2023 unless otherwise noted.
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