The FX Report: November

  • 14 Dec 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

FX Futures: November 2017 FX Futures ADV of 831,472 ($83.2 billion notional) is down 7.4% vs. November 2016, and up 7% YTD YoY

FX Options: November 2017 FX Options ADV of 83,402 ($9.8 billion notional) is down 1.2% vs. November 2016, and up 8.6% YTD YoY

New Products, New Opportunities

CME FX Link: Get Ready for Testing

Testing November 18 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.

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

Ones to Watch

FX Monthly Futures: More to monthlies than their expiries

Read our recently published white paper detailing how to replicate OTC FX positions with Monthly Futures, in spot, forwards and swaps, with examples for each.

Show me

And the Numbers Keep Getting Better and Better:

  • FX Monthly Futures reached record single day volume of 22,037 contracts ($2.8 billion notional) on December 6.
  • Implied functionality was enabled on September 25, resulting in increased liquidity. Notional ADV stands at ~$1.3 billion, up from ~$300 million before implieds
  • Open Interest reached record high of 24,798 on November 2, up from 8,000 before implied

Wednesday FX Options: Ready For A Big Week

Wednesday FX Options add new short-dated maturities with Wednesday expiries, allowing for trade opportunities around this week’s mid-week events – the FOMC, BOE and ECB. 

One More Date To Go:

BOJ: Tuesday December 21

In The News

Greenwich Associates launch research report: Bright future for FX Futures

Greenwich Associates published a paper this month assessing the value and viability of FX Futures as a proxy to the OTC FX market.

The report assesses the economic benefits of using FX Futures through a quantitative total cost analysis (TCA) model and by analysing the impact of regulatory change to the FX market

Greenwich interviewed 41 buyside institutions and nine major FX sell side institutions to validate inputs to the quantitative TCA

On average it was found, that in certain circumstances, FX Futures can generate upwards of 75% savings over OTC markets. Naturally the exact savings depend upon institution, trading style, holding time, currency pair etc

Read the report to find out why

 

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.

Features

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. 

Read archived reports.