The FX Report: December

  • 18 Jan 2018
  • By CME Group
  • Topics: FX

Keep up with what is happening in the FX markets with this monthly report highlighting monthly data, new products and more.

Need to Know

The Numbers You Need

2017 in Review: A Year of FX Records

  • Large Open Interest Holders: record FX futures of 1,117 on August 8
  • Open Interest: FX futures and options open interest of 2,985,436 ($306.5B) on September 19
  • Record single-day volume: 2.6 million contracts ($267 billion) on June 14, driven by FX futures
  • Monthly FX futures: launched in February and achieved record open interest of 24,798 contracts on November 2, and record single-day volume of 22,037 contracts on December 6

FX futures finished 2017 strong with ADV of 964,190 contracts ($97.9 billion notional) in December, up 17% versus December 2016. FX futures notional ADV increased 10.7% YoY, with notional ADV of $83.3 billion in 2017.

  FX Futures
2017 %YoY
ADV Contracts 842,712 7.8%
ADV Notion ($billions) 83.3 10.7%

FX options finished 2017 with ADV of 77,835 contracts, an 8.1% increase versus 2016. In notional terms, FX options ADV of $8.9 billion in 2017 is up 9.1% versus 2016.

  FX Options
2017 %YoY
ADV Contracts 77,835 8.1%
ADV Notion ($billions) 8.9 9.1%

New Products, New Opportunities

CME FX Link: Ready for Testing

Testing is Available in New Release | Launching March 25, 2018

CME FX Link is the first-ever central limit order book for trading spreads between OTC FX Spot and CME FX futures, seamlessly connecting the two markets.

Enables electronic trading of an OTC Spot FX transaction and a CME Group FX futures contract via a single spread trade on CME Group’s liquid and transparent CME Globex platform.

Traded as the differential between FX futures and OTC Spot FX, resulting in simultaneous execution of a FX futures contract and an OTC Spot FX transaction.

Central prime broker intermediates OTC Spot FX transactions resulting from the spread, allowing participants to leverage existing OTC FX interbank credit relationships and prime brokerage network.

Initial scope includes spreads between OTC Spot FX and the front three expiry months of the following currency pairs: EUR/USD, JPY/USD, GBP/USD, CAD/USD, AUD/USD, MXN/USD.

CME FX Link enables market participants to efficiently realize the capital, margin and operational benefits of CME FX futures.

Ones to Watch

FX Monthly Futures: More to monthlies than their expiries

Read our recently published paper detailing how to replicate OTC FX positions with Monthly futures, in spot, forwards and swaps, with examples for each. 

Find out how to replicate OTC FX markets with futures

In this white paper, we explore the advantages that CME FX futures offer traditional market practitioners in the OTC FX markets, and how CME FX futures can be used to replicate cost-efficient, manageable synthetic exposure to OTC FX spot, forwards, and swaps.

And the Numbers Keep Getting Better and Better

  • FX Monthly futures reached record single day volume of 22,037 contracts ($2.8 billion notional) on December 6.
  • Record single month ADV of 12,835 contracts in December 2017
  • Implied functionality was enabled on September 25, resulting in increased liquidity.
    • Notional ADV stands at ~$1.3 billion, up from ~$300 million before implied
    • Open interest reached record high 24,798 on November 2, up from an 8,000 before implied

Wednesday FX Options: Mid-Week Matters

Wednesday FX options add new short-dated maturities with Wednesday expiries, allowing for trade opportunities around mid-week events – the FOMC, BOC, BOA,  BOE and ECB.

Traded record high 7,452 contracts on December 13 and reached record high Open Interest of 16,691 on December 19

Wednesday FX options accounted for as much as 8% of total option volume on some trade dates.

Wednesday FX options in premium-quoted and vol-quoted formats are available in the following currency pairs: EUR/USD, JPY/USD, GBP/USD, AUD/USD, CAD/USD.

Four contracts are listed on a rolling basis.

Contracts have exactly the same product specification as our current Weekly, Serial, and Quarterly options, except with Wednesday expiration.

In The News

Greenwich Associates Launch Research Report: Bright Future for FX Futures

Greenwich Associates published a paper this month assessing the value of viability of FX futures as a proxy to the OTC FX market.

The report assesses the economic benefits of using FX futures through a quantitative total cost analysis (TCA) model and by analysing the impact of regulatory change to the FX market.

Greenwich interviewed 41 buy-side institutions and nine major FX sell-side institutions to validate inputs to the quantitative TCA.

On average, it was found that in certain circumstances, FX futures can generate upwards of 75% savings over OTC markets. Naturally the exact savings depend upon institution, trading style, holding time, currency pair etc. The report also noted that the full impact of regulatory change, in the form of bid offer spreads and increased fees, had not been felt by end users in the FX market. It went onto note that when this happens the cost savings from trading futures would be even more pronounced.

Read the report to find out why.


Sunday, February 4: Triangulation Delta Range Increases

On Sunday, February 4 (trade date Monday, February 5), to increase the range of triangulated strikes at market open, the initial Triangulation delta range will be configured to include strikes from 10 to 70 delta. Currently, the initial range only includes strikes from 10 to 60 delta.  

This change will be available for customer testing in New Release Monday, January 22.


CME FX: DEFINED BY YOU. DELIVERED BY US.

FX Products

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