The FX Report: October

  • 15 Nov 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: Volume Still Increasing

October 2017 FX futures ADV of 807,035 ($80.6 billion notional) is up 15.4% versus October 2016, and up 8.7% YTD YoY.

Options: Volume Still Increasing

October 2017 FX options ADV of 80,627 ($9.4 billion notional) is up 26.6% versus October 2016, and up 9.8% YTD YoY.

New Products, New Opportunities

CME FX Link: Get Ready for Testing

Testing November 16 2017 | Trading February 25 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.

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
  • CME FX Link enables market participants to efficiently realize the capital, margin and operational benefits of CME FX futures

Learn about CME FX Link


Wednesday FX Options: Wednesdays are Getting Better and Better 

Since launch on October 29, Wednesdays open interest has reached record open interest of 8,331 and 6,109 contracts traded on November 15.

Wednesday FX options add new short-dated maturities with Wednesday expiries, for trade opportunities around mid-week events such as FOMC, BOC and RBA announcements.

Learn more about how our how you can use Wednesdays around market events.

Features

  • Available in premium-quoted and vol-quoted formats in the following currency pairs: EUR/USD, JPY/USD, GBP/USD, AUD/USD, CAD/USD
  • Comprehensive coverage provided by nine market makers in all five currencies
  • Four contracts are listed on a rolling basis
  • Trades have occurred in all five currencies, across all four listed maturities
  • Contracts have the exact product specification as our current weekly, serial, and quarterly options, except with Wednesday expiration
Event Be Ready: Dates
RBA Dec-05
BOC Dec-06
FED Dec-13
BOE Dec-14
ECB Dec-14
BOJ Dec-21

Ones to Watch

FX Monthly Futures

Participation, volume and open interest are growing.

  • Implied functionality enabled on September 25, resulted in notional ADV growing to ~$1.2 billion, up from ~$300 million before implied
  • Open interest in FX Monthly futures increased substantially following the launch of implieds, reaching record high 24,335 contracts at the end of October, up from an 8,000 base prior

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 will not change.

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 is now available in New Release for customer testing


CME FX: DEFINED BY YOU. DELIVERED BY US.

FX Products

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

Learn More

More Reports

View previous FX reports over the last year. 

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