News Release

CME Group to Offer Volatility-Based Quoting Convention for FX Options

Thu Nov 01 2007

CHICAGO, Nov. 1 /PRNewswire-FirstCall/ -- CME Group, the world's largest and most diverse exchange and the largest regulated marketplace for foreign exchange (FX) trading, today announced plans to offer volatility-based quoting on six of its FX options on futures contracts: Euro FX, British pound, Japanese yen, Canadian dollar, Swiss franc and Australian dollar. This quoting convention enables "delta-neutral" trading, which virtually eliminates the execution risk inherent to trading in live premium by quoting FX options in volatility terms. Volatility-based quoting is expected to launch in the first quarter of 2008 and will be available exclusively for FX options trading on the CME Globex® electronic platform.


Volatility-based quoting is the quoting convention most commonly used in the over-the-counter (OTC) FX market. It will provide a means for OTC FX market participants, such as banks and hedge funds, to access CME Group's rapidly growing FX options market by employing the quoting convention used in the OTC market. This quoting convention will be available for both the European- and American-style expirations for five of the currency pairs, with the Australian dollar initially offered only with American-style expiration. The volatility-based quoting convention utilizes CME Group's existing FX options and futures products, and will be 100 percent fungible with the exchange's existing premium-quoted FX options and futures.

"OTC FX options traders now have the opportunity to trade our FX options using the standard OTC quoting convention while benefiting from the transparency, liquidity and financial safeguards of CME Group's FX market," said Derek Sammann, Managing Director, CME Group FX Products. "The introduction of volatility-based quoting will increase the speed and efficiency of trading our FX options while virtually eliminating the execution risk when trading delta-neutral."

Over the past two years, CME Group has enhanced its FX options offering by adding European-style expirations and increased market accessibility by listing all of our most actively traded FX options on CME Globex. These changes have helped fuel year-to-date 75 percent growth in FX options volume through the end of last quarter with $2.4 billion in average daily notional value.

CME Group offers the world's largest regulated FX trading complex and the second largest electronic marketplace for FX trading in the world. The exchange provides users with liquid, transparent markets, guaranteed execution and central counterparty clearing risk management on 41 individual FX futures and 31 options on futures products. Last year, over 114 million FX contracts with a notional value of over $13.9 trillion traded at CME Group. For more information on CME Group FX products, visit

CME Group ( is the world's largest and most diverse exchange. Formed by the 2007 merger of the Chicago Mercantile Exchange (CME) and the Chicago Board of Trade (CBOT), CME Group serves the risk management needs of customers around the globe. As an international marketplace, CME Group brings buyers and sellers together on the CME Globex electronic trading platform and on its trading floors. CME Group offers the widest range of benchmark products available across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, agricultural commodities, and alternative investment products such as weather and real estate. CME Group is traded on the New York Stock Exchange and NASDAQ under the symbol "CME."

The Globe logo, CME, Chicago Mercantile Exchange, CME Group, Globex and E-mini, are trademarks of Chicago Mercantile Exchange Inc. All other trademarks are the property of their respective owners. Further information about CME Group and its products can be found at


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