Everything about CME FX options remains the same, except the time they expire. The expiry time changed from 2 p.m. Chicago to 10 a.m. New York on June 9 2019.
In 2017, CME Group surveyed participants across the market and around the world. We wanted to determine if aligning our market more closely with the OTC market convention, and moving to 10 a.m. New York, would make it easier to access the liquidity, capital efficiencies and security of our markets.
Of all respondents, 71% stated it would, and requested we make this change to our market structure.
Simply put, the market asked, and we delivered.
CME Group has changed the expiration time to 10 a.m. New York, to bring our FX options in line with the primary OTC market convention.
All the codes you use today will remain the same.
CME Group systems will continue to refer to the Chicago time convention for consistency. Thus 10 a.m. New York (10 a.m. ET) will appear as 9 a.m. CT in our clearing and trading systems.
The expiration time has changed to 10 a.m. New York (10 a.m. ET) for all contracts that have expired after June 9, 2019. The first contract affected was the September 2019 quarterly.
The expiration for CME Group’s FX Options is determined by an auto-exercise process based on the option’s moneyness relative to the CME Fix value. The process is final as CME does not allow contrary instructions in FX options.
The CME Fix value: the volume weighted average price (VWAP) of all transactions in the underlying futures during the 60 second period ending at 10:00:00am New York (9 a.m. CT).
All options that are in-the-money relative to the CME Fix value are automatically exercised at expiration. Please note the special treatment of ATM options:
Moneyness |
Call options |
Put options |
In-the-money (ITM) |
Exercised |
Exercised |
At-the-money (ATM) |
Exercised |
Abandoned |
Out-of-the-money (OTM) |
Abandoned |
Abandoned |
The process is final as CME does not allow contrary instructions in FX options.
Manage expiration hedging risk
Participants will know instantaneously at 10:00:00 a.m. which options are exercised, which are abandoned, and can make immediate adjustments to any resulting risk. To help traders manage the potential hedging risk associated with expiration, CME publishes the Fix value in our market data at every one-second interval throughout its calculation, so participants can track the path of the Fix value as time approaches final expiration. Given its deterministic and transparent design, customers can fully automate their FX option expiration process at CME. There are multiple ways to source the 10 a.m. New York (9 a.m. CT) CME Fix:
CME Market Data:
The Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:
- Tag 279- MDUpdateAction=0 (New)
- Tag 269-MDEntryType=W (Fixing Price)
- Tag 270-MDEntryPX = Price of the MD Entry (This value will contain the fixing price).
- Tag 5796-Trading Reference will display the date for which the fixing price was calculated.
- Available on channel 320
Vendor Codes for the CME Fix
| Vendor Codes for 10 a.m. New York (9 a.m. CT) CME Fix | ||||||
| AUD/USD | CAD/USD | EUR/USD | GBP/USD | CHF/USD | JPY/USD | |
| Bloomberg | CMFXADF1 | CMFXCDF1 | CMFXECF1 | CMFXBPF1 | CMFXSFF1 | CMFXJYF1 |
| Refinitiv | 0#ADU+ | 0#CAU+ | 0#EUU+ | 0#GBU+ | 0#CHU+ | 0#JPU+ |
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