FX Futures and Options Block and Pre-Execution Communications Quick Reference Guide

For spreads it is the sum of the contracts in both legs of the transaction. The total quantity must meet the highest threshold of the contracts involved in the spread.

For intra-commodity Foreign Exchange options spreads and options combinations, the sum of the quantities of the legs of the transaction must meet the minimum block quantity threshold.

View complete block thresholds and reporting times

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CME Direct provides direct entry into CME ClearPort. Block trades reported through CME Direct fulfill reporting requirements.

Use CME Direct to instantly process voice-negotiated blocks. Brokers using CME Direct can efficiently open a CME Direct trade ticket, populate the details of a block trade, and submit the deal directly for clearing, eliminating the need to phone in the details.

CME Direct block trade features:

• Fast booking – immediately submit block trades or EFRPs within the required reporting window
• Pre-confirmation window for trade entry – including CME ClearPort validation checks
• Real-time block ticker – view customizable block data feeds displaying all block trades in real-time

View block trades on:

• CME Direct, which offers a live block trade window
• CME Group App, available through iTunes
• cmegroup.com/blocktrading

View full fee schedule

For those who use give-ups, the surcharge for FX option blocks has been waived for 2020.

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Brokers engaging in allowable pre-execution (pre-ex) communications for FX futures and options, as described in CME Rule 539, must enter a cross via either the Committed Cross (C-Cross) or the Globex Cross (G-Cross), depending on the product.

• In a C-Cross, subsequent to the pre-ex communication, a Request for Cross (RFC) is entered into CME Globex which contains both the buy and the sell orders.
• Upon entry of the RFC, CME Globex will display an indication that a cross has been committed to the market and will occur in five (5) seconds.  Price and size are not disclosed to the market.
• If eligible, a Better Price or Volume Match (BPVM) allocation of a certain percent may match a percentage of the cross order, provided the following price and volume improvement conditions are met:
  • If the RFC price represents a new best price level (both a bid price higher than the current bid and an offer price lower than the current offer) upon entry to CME Globex, or
  • If the RFC price is equal to the best bid or offer and the quantity of the RFC is greater than the quantity at that current best bid or offer at the time of submission of the RFC to CME Globex, and
  • During the five-second period between the entry of the RFC and the cross occurring, a better price for either the buy or sell order has not been entered into CME Globex.

A complete list of eligible products and associated crossing protocols may be found here:
http://www.cmegroup.com/rulebook/files/rule-539-c-crossing-protocols.xlsx

• In a G-Cross, the order of the party that initiated the pre-execution must be entered into CME Globex first. The second party’s order may not be entered into CME Globex until a period of 5 seconds has elapsed from the time of entry of the first order. No Request for Quote (“RFQ”) is required in a G-Cross.

Watch a 4-minute video on the full regulatory advisory and a demonstration of the process

Learn more about block trading for FX products