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.
As of September 3, 2021, open interest (OI) in FX futures stands at $201 billion. End users (asset manager / institutional + leveraged funds) held a significant proportion of the OI*:
According to the CFTC, there are 1,246 customers holding large open interest positions in CME FX futures as of August 31. This number is +10% year on year.
*Data as of August 31, 2021
The June roll of FX Futures at CME was characterized by substantial improvements in the overall quality of liquidity and improved roll efficiency, as evidenced by increased book depth and increased transference of open interest across all of 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.
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