July: The FX Report

  • 15 Aug 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

July 2017 FX futures ADV of 772,521 ($79 billion notional)

FX futures July ADV up 18% versus July 2016

July 2017 FX options ADV of 90,695 ($10.5 billion notional)

FX options ADV rose sharply in July, up 46% versus July 2016

Ones to Watch

Record volume in CAD options

Canadian Dollar options achieved record single day volume of 31,282 on July 12 after the Bank of Canada raised interest rates.  Open Interest in Canadian Dollar options reached new record high of 120,722 contracts.

Weekly Options

CME FX Weekly Options traded record high 29,512 ADV in July 2017, the fifth consecutive record month.  Market participants have recently put focus on FX weekly options to tailor positions around specific dates.

New Products, New Opportunities

More margin offsets have been added; with 20% offset between INR/USD and Gold contracts.

VQO: Liquidity, Expanded

Record 2,514 Volatility-Quoted Options contracts traded on 89 trades on July 31. 

New functionality is coming to VQO in August. All VQO currency pairs will be aligned with minimum order quantity of 10 lots, and the minimum quantity to trigger a triangulation execution will be set at 10 lots.

Read more details in the latest Globex Notice

In the News

FX Monthlies: More Expiries, Delivered

New Implied Functionality for CME FX Futures and SD Calendar Spreads is coming September 24.

Effective Sunday, September 24  for trade date Monday, September 25, implied functionality will be enabled on the following CME FX futures outrights and all SD calendar spreads (i.e. serial-serial, serial-quarterly, quarterly-quarterly) in the first 12 months.

Implied Functionality for CME FX Futures and SD Calendar Spreads

Product

MDP 3.0:
Tag 6937-Asset

iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group

British Pound

6B

6B

Canadian Dollar

6C

6C

Euro FX

6E

6E

Japanese Yen

6J

6J

Australian Dollar

6A

6A

Euro/British Pound

RP

FB

Implied functionality utilizes bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices. In internal testing, implied functionality increased incremental feed bandwidth up to 13% on the CME Globex FX futures MDP 3.0 channels 314 and 320.

To identify CME FX futures products with implied eligibility, the market data Security Definition message (tag 35-MsgType=d) will contain tag 872-InstAttrbValue bit 19-Implied Matching Eligible =1.

Implied book updates are disseminated via the market data Incremental message (tag 35- MsgType=X) with tag 269-MDEntryType=E (implied bid) and F (implied offer).

Implied functionality for CME FX futures was turned on for customer testing in New Release on August 7.

Additional details on the implied functionality are available in the Client Systems Wiki.

For more information please visit cmegroup.com/fxmonthlies.

 

Read the Globex Notice


CME FX: DEFINED BY YOU. DELIVERED BY US.

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