JULY 2022

The FX Report

FX Futures | FX Options | FX Link

In this edition, learn how central bank rate decisions and capital efficiencies of cleared FX are driving increased usage of our markets. Stay connected to what’s happening in FX today.

  • 22 Jul 2022
  • By CME Group

New participants, new liquidity: Open interest across FX futures and options peaks again in the wake of central bank rate decisions

Increasing open interest represents new or additional positioning in the market – peaking in June at ~$295.8B notional outstanding (3.19M contracts).  The number of holders of large open positions, as defined by the CFTC, reached an all-time record of 1,312 in May.

Explore our options open interest heatmap

Regulators driving change in market behavior as the cost of uncleared margin rules becomes clearer

FX futures and options listed on CME Group are exempt from the annual AANA calculation, which determines to what extent a participant needs to pay margin on their FX exposure in certain products. As a result, we are witnessing a natural shift to our centrally cleared marketplace as users look to remain under the AANA threshold altogether, or if caught look to reduce the impact of UMR on their portfolio.

Read all about it

Market recognizes liquidity in privately negotiated cleared FX futures and options at CME Group is the same as for OTC trades

Participants worldwide are recognizing how to lean on OTC liquidity and relationships and gain the margin reducing features of listed futures and options, through CME Group’s block and EFRP trade mechanisms. Simply, the trade is negotiated as in the OTC market – via a growing network of Liquidity Providers, priced, dated, and decided and then subsequently submitted and cleared in our market. There are now over 20 firms pricing blocks and EFRPs to banks, hedge funds, asset managers and corporates, all you need is a clearing broker to get started. No ISDA, no credit line, no fuss.

Choose yours

Need to know – Q2 averages

Daily Volume: $83B notional in Q2 – up 25% YoY
Open Interest: $272.5B – up 20% YoY
Large Open Interest Holders (LOIH): 1,252 – up 5% YoY

Did you know

  • Over 60K unique users have traded FX futures in our market this year
  • Over 7K unique users have traded FX options in the same period
  • Over 40 FCMs support our markets
  • Over 20 bank and non-bank market makers provide block and EFRP liquidity

Follow the trend: Growth in OTC-style mechanisms – up 102% YoY

  H1 2022 ADV YoY %
FX Futures Blocks 6,054 +26%
FX Options Blocks 5,921 +99%
EFRPs 6,663 +367%
Total 18,639 +102%

Source: CME Group. Data as of June 30, 2022, unless otherwise specified.

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Optimized margin, optimized credit: Opportunity to deploy capital differently

Centrally cleared futures and options have long been recognized for their capital efficiencies - even more compelling now that the similarity in block and EFRP liquidity with the OTC market has been established. By facing a centralized counterparty, CME FX Clearing uniquely allows for more efficient netting, margin optimization, counterparty credit mitigation, and the freeing up of bilateral credit lines – enabling participants to deploy that capital towards other trading opportunities.

Read more, from your peers’ perspective

Enter FX Link: Participants seek the same efficiencies in FX swaps

FX Link is the only cleared electronic marketplace for FX swaps, offering an all-to-all orderbook for the basis between OTC FX spot and CME FX futures. Records for trading activity keep rolling in with over $7.2B traded on June 16 alone, with typical daily volumes of $5B, and increasing adoption across the industry, which is why the market is taking notice.

Find out more


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

Recognized by the industry, recognized by our peers

CME Group wins the award for the best exchange for FX. The e-FX Awards, now in their twentieth year, recognize those firms that have set the bar in electronic FX trading, celebrating their skill, dedication, and creativity.  

Read more

Assessing the roll, assessing the quarter

The Q2 roll: The quarterly roll period provides customers with the ability to transition their risk from the expiring future to the next (deferred) quarterly date. In the June 2022 quarterly roll period volumes were up across all G5 FX futures, with G5 ADV throughout the two-week roll period up 24% vs. the average of the prior four quarters.

These quarterly roll spreads can be traded either on a privately negotiated basis directly with chosen liquidity providers (blocks) at a minimum price increment of 0.1 pip for G10 currency pairs or via the firm pricing within the CME central limit order book where the minimum price increment is 0.2 of a pip in currency pairs such as EUR/USD.

Throughout the June roll period, the CME Group order book displayed liquidity at very tight top of book spreads for the June/Sept roll spread. For example, the spread for EUR/USD was at the minimum price increment (0.2 pip) for 97% of regular trading hours.

The firm liquidity in the order book combined with the ability to trade passively (and so not pay a spread) along with the complementary liquidity of block trading allowed clients to transition an average of 81% of open positions in the G5 currency pairs.

June Pace of Roll

Pair OI Rolled (JUN 2022) OI Rolled (Prior 20Q) Chng. Vs. Avg.
EUR/USD 83% 78% +5%
JPY/USD 82% 72% +10%
GBP/USD 82% 72% +10%
AUD/USD 80% 70% +10%
CAD/USD 77% 69% +8%

Displayed TOB Execution Cost, in Ticks During RTH

Pair JUN 2022 % OF TIME AT MPI
EUR/USD 0.21 97%
JPY/USD 0.22 93%
GBP/USD 0.53 94%
AUD/USD 0.28 73%
CAD/USD 0.21 97%

Source: CME Group. Data as of June 30, 2022, unless otherwise specified.

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highlighting data, new products, and more.

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