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. Stay connected to the changes in our market and the wider FX marketplace.

  • 28 Jul 2021
  • By CME Group

Stay connected to tools and products

Follow the roll

Use our Pace of the Roll tool, to watch the roll evolve in real time – before, during, and after the contracts roll off.


Reflecting on the roll: Analyzing risk transference

The quarterly roll is critical for customers wishing to migrate open interest, and our intent is to enable a deep and liquid order book that is cost effective for efficient risk transference.

The September roll of FX futures 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 G5 pairs.

FX Options Vol Converter historical data now available on DataMine

The FX Options Vol Converter, powered by QuikStrike, calculates listed options pricing available on FX options into an OTC-equivalent volatility surface. The tool allows OTC traders to easily compare pricing and monitor price relationships between the OTC and listed options markets.

Now, you can explore the historical data used for the FX Options Vol Converter. Available free of charge for a limited time, the data can be accessed via DataMine. 

Access the data

Gain transparency, analyze liquidity, and uncover insights to power execution decisions

Identifying the tightest spread, minimizing market impact, and understanding which marketplace to transact on are focal points for many FX traders.

The FX Market Profile tool helps to enrich trading decisions across 18 currency pairs by providing side-by-side analysis of the bid-ask spread, order book depth, and volume data across listed FX futures, OTC spot FX (via EBS), and FX swaps (via FX Link).

The enhanced FX Market Profile, powered by Quant Analytics, is now live with the following additional features to help optimize execution decisions:

  • Historical data analysis: See how liquidity has performed and changed over specified time periods, rather than just an average across time.
  • Seven additional currency pairs: With the addition of euro cross rates (EUR/JPY, EUR/GBP, EUR/CHF, EUR/SEK, and EUR/NOK) and Scandinavian currencies (SEK and NOK), the FX Market Profile now offers insights on 18 currency pairs.
  • FX swaps market added via FX Link: Analyze spreads, book depth, and volumes for FX swaps in eight currency pairs.
  • More depth of book: Gain a better picture of the full liquidity available through analytics that cover 10 levels of the book for both listed FX and EBS markets.
  • FX futures volume traded: Actual volumes in both notional and contract terms that traded for listed FX futures to evidence liquidity and client activity.

Take me to the tool

Capitalize on listed emerging market currencies

Explore FX trading opportunities, trends, and efficiencies in listed emerging market FX.

Explore the franchise

FX futures large open interest holders gain 20% year-over-year

Listed FX provides a complementary pool of liquidity that can help to solve credit and margin challenges. Client adoption has continued throughout 2021, with asset managers holding 45.3% of open interest in EUR/USD FX futures as of September 28. Large open interest holders (LOIH) in FX futures have also risen 20% year-over-year, buoyed by record LOIH in Euro futures as well as strong increases in British pound, Australian dollar, and emerging markets currencies.

Euro futures LOIH stood at a record of 324, up 9% year-over-year.

Emerging market LOIH stood at 328, up 33% year-over year.

FX options: open interest, ADV climb to multi-year highs

September open interest (OI) in CME listed FX options reached 924,000 contracts – the highest level since January 2018.

In particular, OI in Australian and Canadian dollar options reached record levels.

On a contract basis, September had the highest average daily volume (44,248 contracts) since March 2020 and an increase of 15.5% year-over-year.


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