Get to know the quarterly roll in CME FX futures

As of June 1, 2021, open interest (OI) in FX futures stands at $208.3 billion. End users (asset manager / institutional + leveraged funds) held a significant proportion of the OI*:

• EUR: 49.2%
• JPY: 61.1%
• AUD: 64.4%

According to the CFTC, there are 1,248 customers holding large open interest positions in CME FX futures as of May 18. This number is +23.3% year on year.

• Liquidity: The March roll saw strong liquidity in the central limit order book (CLOB) for the quarterly roll ‘calendar spread’ trades.
• Depth: Top of book depth in the G5 pairs was +505% versus the average of the prior four rolls, with average TOB depth as follows: 

GBP 38,532 (£2.4bn); JPY 25,836 (JPY 322.95bn); CAD 18,156 (CAD 1.8bn); EUR 15,252 (EUR 1.9bn); AUD 9,191 (AUD 919.1m)

• Cost efficiency: The G5 pairs were at their minimum price increment for nearly the whole trading day (EUR 99%, GBP 99%, JPY 97%, CAD 95%, AUD 95%).
• Scale: On average, clients rolled/transferred 80% of their open interest in the G5 currency pairs, and we saw increased participation from end user customers with hedge funds +16% and asset managers +12%.
• Participation: Non-member/asset manager customers were able to trade passively for an average of 35.6% of their roll activity in the G5 pairs.

For customers wishing to roll their open interest or to utilize calendar spreads as a cleared alterative for FX Swaps, they can use both the CLOB and Block liquidity.

• The CLOB provides firm pricing in an all-to-all, anonymous, and credit-agnostic environment.
• In the context of calendar spreads for the quarterly roll, this provides a unique source of liquidity and price discovery for FX swaps given the firm pricing that is underpinned by ‘hard’ credit.
• The CLOB also supports customers trading passively via resting orders, enabling customers to avoid paying and to potentially even earn the spread on their positions.
• Pricing in the CLOB for both outright futures and spreads can be accessed via multiple front-end platforms including CME Direct, Bloomberg, TT, CQG, and Refinitiv.
• The Bloomberg tickers for EUR FX futures and spreads are: ECA [Curncy] / ECM1ECU1 [Curncy]
• The minimum price increment for a calendar spread in the CLOB is 0.2 of a pip for EUR, JPY, CAD, and AUD.

• Block trades are privately negotiated on a relationship basis away from the CLOB .
• These trades are negotiated on a disclosed basis, enabling large orders to be executed at one single price using an existing OTC relationship and liquidity of chosen counterparts.
• Over 20 entities are now available for providing block prices in listed FX products.
• The minimum price increment for blocks in G10 currency pairs is 1/10 of a pip.

• The Commitment of Traders tool provides a graphical representation of CFTC data on open interest.
• The FX Pace of the Roll tool provides daily update on roll activity and progress compared to previous rolls.
• Quick reference guide for blocks and EFRPs in listed FX includes links to block rules and block market makers.
• Email alerts are available for notification of all blocks going through the listed FX market as well as an end-of-day summary containing all trades from that day.