The FX Report: August

  • 14 Sep 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.

    FX futures and options have broken records again with 2,978,366 open interest on September 14.

The Numbers You Need

New record open interest in FX futures and options of 2,717,298 set on August 3 led to FX futures open interest of 1,802,982 at the end of August, up 30% versus August 2016.

  • August 2017 FX futures ADV of 731,489 ($75.6 billion notional) is up 26.6% versus August 2016, and up 5.3% YTD YoY.
  • August 2017 FX options ADV of 85,653 ($10.6 billion notional) is up 69.6% versus August 2016, and up 2% YTD YoY.

Ones to Watch

Record: Large Open Interest Holders

Record: CAD/USD Options

Open interest in Canadian Dollar options reached new highs on August 3 at 126,102.

Record: Weekly Options

CME FX Weekly options traded a record high of 30,659 ADV in August 2017, the sixth consecutive record month.

New Products, New Opportunities

FX Monthlies: More expiries delivered

Less than two weeks to go-live for Implied pricing.

In the News

Implied Functionality for CME FX futures and SD Calendar Spreads - September 24

Effective Sunday, September 24 (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 is currently available for customer testing.

Additional detailed information on the implied functionality is available in the Client Systems Wiki.

For more information, please visit cmegroup.com/fxmonthlies.

Self-Match Prevention Enhancements - October 1

The Self-Match Prevention (SMP) enhancements launch scheduled for Sunday, September 24, has been rescheduled to Sunday, October 1 (trade date Monday, October 2). SMP is optional functionality that allows market participants to prevent the matching of orders for accounts with common ownership if both the buy and sell orders contain the same SMP ID and Globex Firm ID.

CME Group will offer a mock trading session on Saturday, September 30, for customers test their Self-Match Prevention configuration in the CME Globex production environment. Customers are required to register to participate in the mock trading session. Please review the mock trading session script for additional information.

Detailed information, including the launch schedule, is available in the Client Impact Assessment.

American-Style Mexican Peso Options to European-Style - January 2

On Tuesday, January 2, 2018, the full conversion from American-style to European-style exercise will occur and the Security Definition messages and Referential files will reflect European-style exercise. Product Symbols are not changing.

American-Style Mexican Peso Options to European-Style

Product

MDP 3.0: tag 6937-Asset

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

Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures

 

6M

 

MO

 

Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures - Week 1-5

 

1M-5M

 

MO

 

These futures are listed with, and subject to, the rules and regulations of CME.

The change will be available in New Release for customer testing on Monday, November 8.

Read the CME Globex Notice  


CME FX: DEFINED BY YOU. DELIVERED BY US.

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