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 Sept-Dec roll

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*:

  • EUR: 55%
  • JPY: 59.6%
  • AUD: 62.2%

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

Recap of the June roll

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.

  • Order Book Results: The quality of liquidity over the two-week roll period improved materially compared to the previous 4 roll periods, with Top of Book displayed depth during regular trading hours averaging 34.4k contracts across the G5 currencies (+294% vs. average of the prior 4 rolls). EUR, JPY, CAD and GBP were at their MPI for 97%+ regular trading hours throughout the roll period.
  • Globex (CLOB) Roll Average Daily Volume (“ADV”): June roll ADV was up 5% across the G5 pairs (338k ADV) compared to the average of the prior 4 rolls, with either improved or sustained volume levels across a majority of the G5 pairs. 
  • Block Spread Roll ADV: Block roll spread ADV in G10 currency pairs was up +364% (25.2k). Approximately 54% of this block spread volume was executed at the reduced MPI of 1/10th of a pip.
  • Efficiency of the Roll: The amount of open interest rolled averaged 80.4% across the G5 pairs, which is up 8.2% compared to the average of the prior 4 rolls.
  • End User Results: Across the G5 pairs, we witnessed roll volume growth among buyside firms, with hedge funds (+34% vs. previous 4 rolls) and asset managers / end users (+16%)

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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About CME Group

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