The FX Report
Futures & Options | Spot | NDF
In this edition: Learn how CME Group is bringing the FX market together with access to essential liquidity in times of uncertainty, significant margin savings against U.S. Treasuries, award-winning FX venues, OTC-style access to cleared FX liquidity and more.
- 27 Feb 2024
- By CME Group
June 12 was a record-setting volume day for FX futures and for FX Link, our anonymous, all-to-all spot-futures FX spread trading tool:
- FX futures: Single-day record of 3.26 million contracts ($314 billion notional).
- FX Link: Single-day record of 113,662 contracts ($10.5 billion notional).
- FX Link YTD: Volumes are up over 52% vs. the same period in 2023.
These milestones signal the continued growth in client adoption, currency pairs, and market liquidity.
CME Group wins top awards for FX derivatives and spot
CME Group was awarded Best Trading Platform for FX Derivatives and Best Trading Platform for Spot at the FX Markets Asia Awards 2024 for our choice of execution, firm liquidity, and transparency. EBS Market was recognized for its success as a primary spot venue for key pairs like USD/JPY and USD/CNH.
On May 31, Indian Rupee NDF volumes exceeded $4 billion on EBS Market, with a total of $10 billion traded on June 3 and 4 as Indian election results emerged. Concurrently on June 3, the Mexican peso experienced a sharp drop against the U.S. dollar, resulting in a record $7.5 billion notional of MXN futures traded, the highest ever on a non-roll day. Both CME FX CLOBs ensured orderly price discovery and risk management, providing firm liquidity when needed most.
Explore EBS Market and MXN futures.
Block by Block (Revisited): Buy-side deepens adoption of cleared FX futures
In 2022 we published an article, Block by Block, on the burgeoning dealer-to-client market for cleared FX. Two years on, volumes in our FX futures now rival, and often surpass, OTC FX spot venues, with EFRP volumes up 52% year-on-year. Read more about this exceptional growth.
Following key EBS Market enhancements this year, FX spot liquidity has improved notably on the platform, driven by strong client adoption of the new features.
Why it matters: These improvements have significantly tightened bid-offer spreads and minimized market impact, enabling more effective risk management through the primary market’s robust central limit order book.
Demonstrating depth of FX futures CLOB liquidity for large risk transfer
Read how traders are efficiently executing large trades in the futures CLOB, where the resilient order book ensures seamless trade execution, swiftly replenishing liquidity even during periods of heightened activity.
Now available: FX Margin Offsets
Up to 60% with U.S. Treasury futures, up to 35% with
SOFR futures
The June roll period was characterized by strong improvements in roll liquidity and activity, as evidenced by increased top-of-book (TOB) depth, and growth in June-Sept roll volumes across a majority of the G5 pairs, during the primary roll week. June roll spread average TOB depth across the G5 pairs was ~$3.1 billion, +70% 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. Additionally, June roll spread volumes increased by 13% across the G5 pairs (~833K contracts; ~$17 billion) during the primary roll week.
Pair |
JUNE 2024 |
Prior 4Q |
CHNG. VS. AVG. |
|---|---|---|---|
EUR/USD |
$5.3 |
$2.3 |
+131% |
JPY/USD |
$2.2 |
$4.1 |
+99% |
GBP/USD |
$4.6 |
$3.0 |
+53% |
AUD/USD |
$1.4 |
$1.1 |
+28% |
CAD/USD |
$2.0 |
$1.7 |
+22% |
Source: CME Group
PAIR |
June 2024 |
% 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 | 0.21 | 97% |
Source: CME Group
Note: All data and figures as of June 2024 unless otherwise noted.
Interview: The Full FX Unfiltered – with CME Group
Chris Povey, Head of FX Options at CME Group, discusses the changing market structure, increased electronification and the rise of systematic hedge funds driving automation to a higher level. The conversation also looks at the value of a CLOB in FX options, and how this helps clients manage their risk.
Managing risk in global corn trade using Mexican Peso futures
With over $2.2 billion notional trading every day, our MXN futures provide a liquid, transparent means of hedging currency moves. Find out how Mexican corn importers are managing their FX risk.
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