Hedge Funds
 

 

Expand Your Interest Rate Opportunities
Whether you are a hedge fund managing risk from 30 days to 30 years, CME Group Interest Rate markets offer the most diverse suite of futures, options, and cleared OTC products offered on any exchange. With more than 40 million contracts outstanding in open interest, our Interest Rate products deliver greater capital efficiencies, plus the proven safety and security of CME Clearing. Please explore our interactive Interest Rate tools and free educational resources.

» View tools and educational resources

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FX

 

LEADING PRODUCTS
      AVERAGE DAILY VOLUME OPEN INTEREST
Product Name (Futures Ticker) Options Ticker* Contract Size ADV Contracts Q1 2011 ADV $ Notional Q1 2011(in millions) Percent Change from Q1 2010 Open Interest Contracts Q1 2011 Open Interest $ Notional Q1 2011 (in millions)
EUR/USD Futures & Options (6E) 6E 125,000 euros 367,330 $62,731 8% 474,338 $83,499
JPY/USD Futures & Options (6J) 6J 12,500,000 Japanese yen 149,902 $22,803 19% 215,887 $32,458
GBP/USD Futures & Options (6B) 6B 62,500 British pounds 132,787 $13,300 –2% 154,544 $15,506
CHF/USD Futures & Options (6S) 6S 125,000 Swiss francs 51,554 $6,859 –3% 68,499 $9,348
CAD/USD Futures & Options (6C) 6C 100,000 Canadian dollars 85,168 $8,635 0% 166,853 $17,194

* Tickers displayed are CME Globex product codes.

 

Q1 Highlight: Expansion of Listings for Brazilian Real Futures

In response to customer demand, we recently expanded the listing of BRL/USD (Brazilian real) futures by adding 20 quarterly maturities in the March, June, September and December cycle. The additional years 6 through 10 for the March quarterly cycle will be listed for trading on CME Globex for June 2016 through and including March 2021.

Additionally, on April 3, 2011, 80 additional BRL/USD futures "serial" contract months (i.e., January, February, April, May, July, August, October, November) were listed for trading on CME Globex so that a total of 120 consecutive calendar months will always be listed (i.e., former March, June, September, December quarterly cycle plus serial month listings result in consecutive calendar month listings out 10 years).

Customers can now trade consecutive calendar month expirations for a total maturity range of 10 years for BRL/USD futures.

 

CME E-quivalents

FX futures in spot equivalent prices – Free, Real-Time and Online

CME Group offers CME E-quivalents, a webbased application that displays free real-time FX futures and options in spot-equivalent price terms and shows the transparency of the market and the depth of book, including:

  • Top five bids and offers in spot-equivalent terms
  • Forward points (interest rate differentials)
  • Total number of electronically traded contracts and their notional cash value so far on that day’s trading session
  • Pricing for American- and Europeanstyle options and volatility quoted options on futures in AUD/USD, CAD/USD, CHF/USD, EUR/USD, GBP/USD and JPY/USD

 

 CME E-quivalents can be found at www.cmegroup.com/e-quivalents.

 

New Contract Listings for RUB/USD Futures and Options

Our customers have expressed concerns around credit restraints with certain counterparties in the RUB/USD market to dates throughout the first-year maturity. Therefore, we've added the following additional listings:

  • RUB/USD futures - Filled in the serial non-March quarterly cycle months such that we have listed 12 consecutive contract months for the first year of maturity. These combined with the existing 16 additional March quarterly months cover a total maturity range of five years.
  • RUB/USD options - Filled in the serial non-March quarterly cycle months such that we have listed 12 consecutive contract months for the 1st year of maturity. Also, we listed four weeklies on the nearby consecutive contract months, either March quarterly or non-March quarterly contract months. The new weekly options on serial contract months supplement the current weekly options on the March quarterly cycle futures.

 

FX Volcontracts - Realized Volatility Futures
  • Now trading - EUR/USD 1- and 3-month Realized Volatility Futures
  • First futures contracts to offer direct trading of FX volatility
  • Offers a standardized, listed and transparent means of controlling price risk
  • Provides spread opportunities against CME's listed FX futures and options products

For additional information, visit cmegroup.com/fxvolcontracts.

 

New E-Micro Forex Futures - CAD/USD, CHF/USD, JPY/USD
  • 1/10 the standard contract size and physically delivered
  • Three new E-micro Forex contracts along with the three previously offered U.S. denominated currency pairs (EUR/USD, GBP/USD and AUD/USD) allow for perfect offsets with corresponding standard-size FX futures on a 10:1 ratio
  • Also allows for one-lot hedges with Dow Jones CME FX$INDEX futures contracts

For additional information, visit cmegroup.com/forexmicros.

 

Dedicated Fee Incentive Programs for Hedge Funds

FX High Velocity CTA/Hedge Fund pilot Program – To qualify, the CTA or hedge fund must have more than $50 million in assets under management and exceed 125,000 electronic FX sides per month to receive the fee discount.

Standard Fees: $1.60/side
Program Fees: $0.64/side
Savings of 60%

 

FX CTA/Hedge Fund pilot Program – To qualify, the CTA or hedge fund must have more than $1 billion in assets under management.

Standard Fees: $1.60/side
Program Fees: $0.64/side
Savings of 60%

 

 

For more information on our FX products, visit cmegroup.com/fx.
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CME Group Hedge Fund Team

Tina Lemieux
Managing Director, Client Development & Sales - Hedge Funds
312 930 3151
tina.lemieux@cmegroup.com

Mark Thompson
Director, Client Development & Sales - Hedge Funds (U.S.)
212 299 2342
mark.h.thompson@cmegroup.com

Randy Warsager
Director, Client Development & Sales - Hedge Funds (U.S.)
212 299 2352
randy.warsager@cmegroup.com

Pierre Prunier
Director, Client Development & Sales - Hedge Funds (Asia)
+65 6593 5582
pierre.prunier@cmegroup.com