APRIL 2021

The FX Report

FX Futures | FX Options | FX Link

In this edition, keep up with our latest product developments, learn about the forces driving them, and discover the outcomes. Stay connected to the changes in our market and the wider FX marketplace.

  • 11 Jan 2021
  • By CME Group

Stay connected to developments at CME FX


$82.7B traded in futures and options
$271.2B in open interest
$73B traded on EBS*
* Note: EBS total volume excludes FWDs and swaps

CME FX Link: Onboarding and integration just got easier

FX Link is now integrated with Refinitiv Trade Notification (RTN) and IHS Markit's MarkitSERV, simplifying access to our cleared FX swap liquidity and enabling more participants to get connected more easily.

That’s why Jan Scheffel, Co-Head of Global Short-Term Macro Trading at Goldman Sachs, stated:

“We are excited to have access to FX Link as a marketplace for capital efficient FX swap trading, and the ability to use RTN for the spot leg messaging has enabled us to easily onboard and to keep the messaging consistent with other ECNs.”

By connecting with Refinitiv and IHS Markit, FX Link customers can now receive OTC spot FX messages directly via RTN or MarkitSERV ‒ which will streamline onboarding and meet their straight-through processing (STP) requirements.

This quarter, four new global investment banks have adopted FX Link – attracted to the unique mechanism it employs, the credit and capital efficiency it delivers, and the liquidity it provides.

Find out more about FX Link

Large open interest holders: Rebuilding positions, rebuilding markets

Across the industry, at the end of March 2020, the number of institutions holding large open positions had decreased from a record high on Feb. 25, 2020 of 1,310 – following the cross-asset class deleveraging in response to COVID-19.

Growing confidence and risk returning to markets have led institutions to futures as a mechanism to manage risk. As evidence of that, we are now seeing a notable growth of large open interest holders (LOIH) across our contracts in Q1 – up 25% in March 2021, YoY.

Asset managers have driven this increase, with net long positions of 398K ($51.1B) approximately +98% vs. the March 2020 lows. In Q1 2021, we saw the largest-ever net long positions by asset managers in EUR (345K; $52.3B), JPY (104K; $12.6B notional), and combined across our FX futures (599K; $73.3B notional).

Monitor the FX swap market

Use our unique analytics tool, the only public price reference point for the FX swaps market, powered by FX Link – and stay connected to trade ideas, delivered directly to your inbox.

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Emerging market futures: Following the LOIH trend

Large open interest holders in BRL/USD reached a new high of 80 in Q1 – all EM LOIH are up 40% in March YoY.

Read the latest EMFX Guide to get to know these contracts better.

FX Micros: Smaller in size, growing in volume

Micro-sized contracts are available at 1/10 of a standard size contract in our G7 pairs, INR, and CNH. The micro contracts are particularly attractive to individual active traders as a less margin demanding means of accessing our liquidity.

Since Q1 2020 until now, we have seen volume in these contracts increase by over 50%, reaching 49.4K in ADV in Q1 2021 with the number of participants increasing by over 150%.

Find out more

Scandis: Spread market scaling

More clients are utilizing SEK and NOK futures against EUR and USD, delivering more liquidity, tighter spreads, better top-of-book, and greater open interest.

CVOL: A new view on G5 FX volatility is here to help with the why and how of trading volatility

CVOL: The CME Group Volatility Indexes (CVOL) provide 30-day implied volatility benchmarks and related indicators, i.e. skew, to help traders analyze the markets’ view on forward risk and shape the why of a particular strategy. The CVOL FX indices currently cover the primary G5 pairs and a composite index and will soon be extended to include CHF/USD and MXN/USD in May 2021.

FX Options Vol Converter: Once armed with the why, the Vol Converter helps traders see how to execute their strategy ‒ with a consolidated view of CME’s streaming liquidity in OTC-equivalent volatility terms and a drilldown function to find specific listed contract pricing to assess and build the strategy.

Learn more

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Each quarter, we publish The FX Report, which assembles all of the key news, views, and stats the broking community needs to know.