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 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*:
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.
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)
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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