Get to know the quarterly roll in CME FX futures

The quarterly roll represents the shift in open interest from the expiring front month quarterly futures contract to the deferred quarterly futures contract.

This activity is typically focused in the two-week period immediately prior to the expiry date of the front month contract.

Get ready for the June-Sep roll

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.

Source: CFTC

*Data current as of May 25, 2021.

Recap of the March roll

  • 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.

Choose your trading mechanisms

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.

Central limit order book

  • 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.

Blocks

  • 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.

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