CME is the world’s largest regulated FX marketplace with a suite of FX futures that are tradeable across all time zones. Market participation has expanded over recent years, which is evident across the Asian trading hours (00:00 – 09:00a.m. GMT). As of July 3, 2023, an average of over 180,000 G7 futures contracts were traded daily during Asian trading hours, which is more than 20% of the global G7 futures volume, and over 47,000 unique users traded during this timeframe.
The beauty of blocks: OTC-style execution, same clear benefits
CME FX offers unique liquidity with the central limit order book (CLOB) and flexibility in execution modes via block trading and exchange for related positions (EFRPs). Both blocks and EFRPs allow participants to lean on OTC liquidity while utilizing the benefits of cleared products.
The liquidity can be sourced from 25 different liquidity providers, many of whom have desks covering APAC hours.
Strong liquidity in G7 currency pairs during Asian hours
Within the futures CLOB marketplace there is a broad participant mix of banks, proprietary trading firms, hedge funds, asset managers, retail, and corporates. This all-to-all marketplace creates a unique liquidity pool with greater diversity than the traditional liquidity provider to customer relationship. All liquidity is firm with no last look enabling customers to trade passively, and capture bid offer spread as well as aggress into the order book. During the Asian trading hours in the first half of 2023, 71% of hedge funds, 57% of asset managers and 55% of retail customers’ trades were filled passively.
As illustrated by the data from May 2023 below, liquidity across Asian trading hours (highlighted on each chart by the blue box) for the G7 currency pairs in the CLOB is very strong.
As shown on the above three graphs, the EUR/USD spread holds consistently at 0.6-0.65 pips across the entire trading day. The spread on USD/JPY is lowest during Asian trading hours between 1.03 and 1.15 pips. AUD/USD volumes are consistent across the entire trading window, with a slight rise in the London time zone afternoon, and the spread invariably between 0.65-0.7 pips during Asian trading hours. All this highlights sufficient volumes, and consistent strong liquidity across the Asian time zone and the entire trading day.
The table below shows the average top of book (ATOB) spread in full pips, the percentage of time quoted at the lowest Minimum Price Increment (MPI) as well as global average daily volumes (ADV) and percentage of ADV during Asian trading hours for full-year 2022 for all G7 currency pairs. The percentage of time quoted at the lowest MPI varies slightly according to currency pair, but overall, for most of the day (+50%), each pair (except for NZD/USD) is quoted at the lowest MPI.
| Currency Pair | ATOB Spread Whole Day (in full pips) | ATOB Spread Asian Trading Hours (in full pips) | % of Time Quoted at Lowest MPI | % of Time Quoted at Lowest MPI during Asian Trading Hours | Global ADV per Currency Pair FY 2022 (notional in millions of USD) | % ADV During Asian Trading Hours FY 2022 |
|---|---|---|---|---|---|---|
| EUR/USD | 0.60 | 0.614 | 79.4 | 77.3 | 33,237 | 12 |
| USD/JPY | 1.09 | 1.08 | 83.0 | 82.9 | 14,979 | 21 |
| AUD/USD | 0.65 | 0.66 | 70.5 | 67.3 | 7,132 | 19 |
| GBP/USD | 1.14 | 1.15 | 86.0 | 84.9 | 9,575 | 12 |
| USD/CAD | 1.14 | 1.18 | 74.6 | 71.1 | 6,980 | 10 |
| NZD/USD | 0.80 | 0.84 | 42.2 | 33.9 | 1,982 | 17 |
| USD/CHF | 0.84 | 0.88 | 71.6 | 68.0 | 3,352 | 13 |
The volumes, spreads, and number of market participants during Asian trading hours have shown that the CME FX futures market provides access to sufficient, transparent, and secure liquidity in an almost 24-hour market within the largest regulated marketplace. This provides a platform for Asia-based counterparties to execute their FX transactions with efficiency and consistent pricing.
In addition, historic orderbook spreads, depth, and traded volume activity can be seen and analyzed for free via the CME FX Market Profile tool. Real-time orderbook spreads and depth can also be seen and accessed via a variety of front-end trading platforms, including Bloomberg.
For further details or to speak to an expert, please contact the FX Team.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
