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

Table of Contents

Block trades and pre-execution communications offer market participants the convenience of discussing a transaction before execution.

Block trades are privately negotiated transactions executed away from the competitive venues with specific participation, pricing and reporting requirements as described in Rule 526 and the associated Market Regulation Advisory Notice on block trades.

Pre-execution communications are communications between market participants for the purpose of discerning interest in the execution of a transaction prior to the exposure of the order to the market. These transactions are required to be executed on Globex with the appropriate crossing protocol as described in Rule 539 and the associated Market Regulation Advisory Notice on pre-execution communications. 

Learn more about FX futures and options block trades and, pre-execution communications below.

FX futures block thresholds

 

 

CME symbol

Minimum block
trade requirements

Futures

Bloomberg
symbol

CME Globex
quarterly
futures (electronic)

CME ClearPort
futures (blocks)

Quarterly futures

Monthly futures

Majors

 

EUR/USD

ECA Curncy

6E

EC

150

20

JPY/USD

JYA Curncy

6J

J1

150

20

AUS/USD

ADA Curncy

6A

AD

100

20

GBP/USD

BPA Curncy

6B

BP

100

20

CAD/USD

CDA Curncy

6C

C1

100

-

CHF/USD

SFA Curncy

6S

E1

100

-

NZD/USD

NVA Curncy

6N

NE

50

-

NOK/USD

NOA Curncy

NOK

UN

10

-

SEK/USD

SEA Curncy

SEK

SE

10

-

Emerging Markets

 

MXN/USD

PEA Curncy

6M

MP

100

100

BRL/USD

BRA Curncy

6L

BR

50

50

RUB/USD

RUA Curncy

6R

RU

50

50

ZAR/USD

RAA Curncy

6Z

RA

50

50

INR/USD

SIRA Curncy

SIR

SIR

10

10

USD/CNH

CHYA Curncy

CNH

CNH

10

10

Cross Rates

 

 

 

 

 

EUR/GBP

RPA Curncy

RP

RP

50

20

EUR/JPY

RYA Curncy

RY

RY

50

-

EUR/CHF

RFA Curncy

RF

RF

50

-

EURO/CAD

CAA Curncy

ECD

CC

10

-

EUR/AUD

EAA Curncy

EAD

CA

10

-

GBP/YPY

PJA Curncy

PJY

BY

10

-

EUR/NOK

ENA Curncy

ENK

CN

10

-

EUR/SEK

EWA Curncy

ESK

KE

10

-

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.

FX options block thresholds

Option contract

Expiry

Bloomberg

Globex/Clearing

Block thresholds

AUD/USD option

Monthly Options

AUAA

ADU

250

Weekly Mondays

ARWA

MA1-MA5

250

Weekly Wednesdays

WABA

WA1-WA5

250

Weekly Fridays

AUWA

1AD-5AD

250

GBP/USD option

Monthly Options

BGAA

GBU

250

Weekly Mondays

BDWA

MB1-MB5

250

Weekly Wednesdays

WLBA

WG1-WG5

250

Weekly Fridays

BGWA

1BP-5BP

250

CAD/USD option

Monthly Options

UCDA

CAU

250

Weekly Mondays

CFWA

MD1-MD5

250

Weekly Wednesdays

WCBA

WD1-WD5

250

Weekly Fridays

UDWA

1CD-5CD

250

EUR/USD option

Monthly Options

UEAA

EUU

250

Weekly Mondays

DZWA

MO1-MO5

250

Weekly Wednesdays

WEBA

WE1-WE5

250

Weekly Fridays

UAWA

1EU-5EU

250

JPY/USD option

Monthly Options

JADA

JPU

250

Weekly Mondays

JPWA

MJ1-MJ5

250

Weekly Wednesdays

WJBA

WJ1-WJ5

250

Weekly Fridays

JAWA

1JY-5JY

250

CHF/USD option

Monthly Options

SWBA

CHU

250

Weekly Fridays

SWWA

1SF-5SF

250

BRL/USD option

Monthly Options

BRmyC Curncy

BRmyP Curncy

BR

50

Weekly Options

 1RA, 2RA, 3RA, 4RA, 5RA

1R-5R

50

MXN/USD option

Monthly Options

PEmyC Curncy

PEmyP Curncy

6M

50

Weekly Options

 1MA, 2MA, 3MA, 4MA, 5MA,

1M-5M

50

RUB/USD options

Monthly Options

RUmyC Curncy

RUmyP Curncy

6R

50

Weekly Options

 2UA, 3UA, 4UA, 5UA

RU1-RU5

50

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

Block market makers

FX Futures & Options Block Market Makers
Firm Futures/Options FX Pairs Hours** Point of Contact Phone
DRW Both Majors 7am-4pm CT Chicago desk +1 312 542 3176
8am-5pm SGT Singapore desk +65 6549 8607
Susquehanna Both MXN, BRL 7am-4pm CT Philadelphia: Alex Kelly +1 610 617 2816
Majors Philadelphia: Yordan Marinov +1 610 617 2816
CTC Options EUR,JPY,AUD 7am-5pm Ldn London desk +44 207 108 1625
Optiver FX Limited Options Majors 1am-4pm CT (UK&US) London desk +44 203 425 9633
HNK Alpha Futures CNH 9am-1am SGT Singapore desk +65 6260 3850
Inertially Futures EUR, GBP, JPY,
CAD, AUD, INR
4am-10pm LDN Malcolm Baker +44 7525233815
FX Futures & Options Block Facilitators
Firm Futures/Options FX Pairs Hours** Point of Contact Phone
BNP Paribas Futures All 8am - 5pm Ldn London desk: Lee Spicer +44 207 595 8799
Credit Suisse Futures  All 8am-5pm Hong Kong Hong Kong desk:  Adam Bull +852 2102 7015
Deutsche Bank Both All 8am-5pm Ldn London desk: Guy Twinn +44 207 545 9592
ED&F Man Capital Markets Both All 6:30am-8pm Ldn London desk +44 203 580 8105
Itau BBA Both BRL 7am-6pm NY São Paulo desk +55 11 3708-8533
JP Morgan Both All 8am-5pm Ldn London desk: Daniel Kay +44 207 134 0685
8am-5pm NY New York desk: Peter Isola +1 212 834 4652
Morgan Stanley Both All 7am -5pm LDN London desk: Peregrine Hood +44 207 677 8072
7am-5pm NY New York Desk: Richard Condon +1 212 761 2626
7am-5pm HK  Hong Kong Desk: Alexander Wilton +852 3963 3215
Santander Futures G7 & MXN 9am-5pm Ldn Madrid: Enrique Hernandez Amores  +34 91 257 2048
Societe Generale (Principal FX Desk) Futures All 24 hrs London desk +44 207 650 6148*
New York desk +1 212-278-5800*
NY Asia desk +1 212-278-5800*
Tullett Prebon Options All 8m-5pm Ldn London desk +44 207 200 7470
UBS Options All 8am-5pm Ldn London: Dan Noorian +44 207 567 3823
London: Darren Smith +44 207 567 3765

Find me a block market maker 

Timing

Block trades may be executed at any time, including times during which the public auction market is closed.

Block trades do, however, have specific requirements with respect to how quickly they need to be reported following the trade being executed. The complete list of block trade reporting time requirements can be found here, and the table below summarizes the reporting window (in minutes) for a block trade to be reported following its execution.

 

FX futures

FX options

RTH

5

15

ETH

15

15

ATH

15

15


For purposes of the above thresholds and reporting times in FX futures:

  • ETH: 12:00 a.m. – 7:00 a.m. CT, Monday through Friday on regular business days
  • ATH: 4:00 p.m. – 12:00 a.m. CT, Monday through Friday on regular business days and at any time on weekends
  • RTH: 7:00 a.m. – 4:00 p.m. CT, Monday through Friday on regular business days

Block reporting through CME Direct

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 Group all-in fees for block trades

 

EFP|EFR

 Block

Individual Members and Clearing Equity Member

$0.65

$1.07

Rule 106.D Lessees and Rule 106.F Employees

$0.68

$1.27

Rule 106.H and 106.N Firms and Clearing Non-Equity Member Firms

$0.70

$1.45

Non-Members

$1.60

$1.60

View full fee schedule

NEW CREATION OF ‘BIG TICKET’ DISCOUNTS

Trading FX Options at CME Group has never been more capital-efficient or as compelling – with 50% fee reduction on all large trades, defined by being at the block size or above.

KNOW YOUR BLOCKS:
AT A GLANCE

250 contracts: EUR/USD, JPY/USD, GBP/USD, AUD/USD, CAD/USD, CHF/USD

50 contracts: MXN/USD, NZD/USD, BRL/USD, RUB/USD, ZAR/USD, EUR/GBP, EUR/JPY, EUR/CHF

20 contracts: KRW/USD, PLN/USD, HUF/USD, HUF/EUR, ILS/USD, CZK/USD, CZK/EUR, CNY/EUR, CNY/USD

Cross trades via pre-execution communications

Cross protocols for FX futures and options on Globex

Brokers engaging in pre-execution (pre-ex) communications with market makers must enter a Cross via either the Committed Cross (C-Cross) or the Globex Cross (G-Cross).

Committed cross - FX futures and options

  • In a C-Cross, subsequent to the pre-ex communication, an 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 Match (BPM) allocation may match a percentage of the cross order, provided the following price improvement conditions are met:
    • The C-Cross price betters the current market upon entry, and
    • The C-Cross price is equal to or better than the current market at end of the pre-cross period when the cross takes place

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

Globex cross - FX futures only

  • 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

Contact us

If you would like to have a more detailed conversation with a member of our team, complete the form below and we will contact you shortly.

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn

CME FX Products 

CME Group offers the largest regulated marketplace for FX in the world, covering more than 40 currency pairs across both G10 and EM.

Start Trading

CME Direct

Made for block execution certainty and compliance, with the convenience of our highly-configurable front-end.

Get connected

Contact Us

FX team