The FX Report - March

  • 25 Apr 2017
  • By CME Group
  • Topics: FX

Keep up with what is happening in the FX markets with this monthly report highlighting monthly data, new products and more.

The Numbers You Need

March 2017 FX Futures ADV of 905,719 ($87 billion notional)

FX Futures ADV rose in March, up 29% YTD vs. February 2017

March 2017 FX Options ADV of 69,597 ($8 billion notional)

FX Options ADV grew in March, up 15% vs. February 2017

Ones to Watch

Trade EUR/USD options to manage French elections.

Term structure of vol highlights short-dated value of gamma. The May Week2 contract is pricing in a small amount of event risk at this stage.

Timely Expiries: Utilize May serial for before round two and May week2 for after.

Open Interest: Long term holders increasing

Record LOIH of 1,047, up 13% versus Average Q1, 2016

Long term open interest holders (LOIH) are a measure of the diversity of our marketplace and reflect shifts towards listed and cleared FX. 

Significantly, this number has increased by 20% over the last 12 months and is gaining pace. 

New Products, New Opportunities

It's What You Asked For

In the News

Live: Uncleared Margin Analysis for OTC FX in CME Core

CME CORE’s OTC FX functionality was updated with the ability to calculate indicative margin results for cleared and uncleared portfolios and identify potential margin efficiencies that can be achieved through clearing.

Read the full advisory

Update: Triangulation Execution Change for Australian Dollar

Effective Sunday, April 23 (trade date Monday, April 24), the minimum quantity required to trigger a Triangulation execution will be reduced from 20 to 10 lots. The minimum order size for Volatility-Quoted Options will remain 20 lots. These minimums are designed to mitigate the risk of a VQO or Triangulated execution without an assigned future.

This change is available for customer testing in the New Release environment.

Read the Globex Notice

Update: Triangulation Functionality for Additional CME FX Products

† Denotes update to the article

Triangulation functionality will be enabled for the following CME FX products:

  • Sunday, May 14 (trade date Monday, May 15)
    • Japanese Yen
      • Futures: tag 6937=6J
      • Premium-Quoted Options: tag 6937=JPU, 1JY-5JY
      • Volatility-Quoted Options: tag 6937=VXJ, VJA-VJE
    • British Pound
      • Futures: tag 6937=6B
      • Premium-Quoted Options: tag 6937=GBU, 1BP-5BP
      • Volatility-Quoted Options: tag 6937=VXB, VBA-VBE
    • Swiss Franc
      • Futures: tag 6937=6S
      • Premium-Quoted Options: tag 6937=CHU, 1SF-5SF
      • Volatility-Quoted Options: tag 6937=VXS, VSA-VSE
  • Sunday, June 18 (trade date Monday, June 19)
    • Canadian Dollar
      • Futures: tag 6937=6C
      • Premium-Quoted Options: tag 6937=CAU, 1CD-5CD
      • Volatility-Quoted Options: tag 6937=VXC, VCA-VCE
    • Euro FX
      • Futures: tag 6937=6E
      • Premium-Quoted Options: tag 6937=EUU, 1EU-5EU
      • Volatility-Quoted Options: tag 6937=VXT, VTA-VTE

The Swiss Franc, British Pound and Canadian Dollar markets will use a minimum quantity requirement of 10 lots to trigger a Triangulation execution. Japanese Yen and Euro FX will use 20 lot minimum for Triangulation execution. All Volatility-Quoted Options have a 20-lot minimum order size. These minimums are designed to mitigate the risk of a VQO or Triangulated execution without an assigned future.

Triangulation functionality for the Japanese Yen, British Pound and Swiss France will be available for customer testing Wednesday, April 19; Canadian Dollar and Euro FX will be available Monday, May 8.

Read the Globex Notice

CME FX: DEFINED BY YOU. DELIVERED BY US.

FX Products

Learn more about FX products across major and emerging markets, options, and OTC contracts.

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View previous FX reports over the last year. 

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