The FX Report: September

  • 13 Oct 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

Futures: Turn Up the Volume

September 2017 FX futures are trading at ADV of 1,155,177, up 27.7% versus September 2016 and up 8% YTD YoY: $118 billion notional. 

Options: Turn up the volume

September 2017 FX Options ADV Of 101,102 Up 72.5% Vs. September 2016, And Up 8% YTD YoY: $12 Billion Notional

Outstanding Open Interest

New record open interest in FX futures and options of 2,985,436.  Average open interest in Q3 2017 of 2.55 million contracts is up 27.5% versus Q3 2016.

New Products, New Opportunities

Introducing: CME FX Link

Spot FX Basis Spreads on CME Globex

TESTING NOVEMBER 18 2017 | TRADING Q1 2018

CME FX Link is the first ever central limit order book for trading spreads between OTC FX Spot and CME FX Futures, seamlessly connecting the two markets

The result: CME FX Link enables market participants to efficiently realize the capital, margin and operational benefits of CME FX Futures

Features

  • Enables electronic trading of an OTC Spot FX transaction and a CME group FX futures contract via a single spread trade on CME group’s liquid and transparent CME Globex platform
  • Traded as the differential between FX futures and OTC spot FX, resulting in simultaneous execution of a FX futures contract and an OTC spot FX transaction
  • Central prime broker intermediates OTC spot FX transactions resulting from the spread, allowing participants to leverage existing OTC FX interbank credit relationships and prime brokerage network
  • Initial scope includes spreads between OTC spot FX and the front three expiry months of the following currency pairs: EUR/USD, JPY/USD, GBP/USD, CAD/USD, AUD/USD, MXN/USD

Understand the full story, design, functionality, quotation and trade pricing, and how to get connected.


LAUNCHING OCTOBER 29 | FIRST CONTRACT WEDNESDAY, NOV 1 EXPIRY | FOMC NOV 1

Features

  • Wednesday FX options add new short-dated maturities with Wednesday expiries, allowing for trading opportunities around mid-week events such as FOMC, BOC, and RBA announcements.
  • Wednesday FX options in premium-quoted and vol-quoted formats will be available on: EUR/USD, JPY/USD, GBP/USD, AUD/USD, CAD/USD
  • Four contracts listed on a rolling basis (next four Wednesdays on the calendar), starting with: November 1 (FOMC), November 8, November 15, And November 22
  • Contracts have the exact product specification as our current weekly, serial, and quarterly options, except with Wednesday expiration

Learn more about how our Options perform around market events

Be ready: upcoming central bank announcements

Event Upcoming Dates
FED November 1
December 13
BOC December 6
RBA November 7
December 5
BOJ October 31
December 21
BOE November 2
December 14
ECB October 26
December 14

Ones to Watch

FX Monthly Futures: Now with Implied Pricing Functionality

It’s Time to Take Another Look at Our Top-Of-Book

Implied functionality was enabled on September 25. The result: ADV has climbed to 13,000.

Open interest in FX monthly futures has grown to 23,000 contracts after implieds were enabled, up from an 8,000 base prior.

Weekly Options: Fridays Have Never Looked So Good

CME FX Weekly options traded record high 31,990 ADV in September 2017, the seventh consecutive record month.

IN THE NEWS

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.


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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