The FX Report

FX Futures | FX Options | FX Link

In this edition: Learn what’s driving the rapid growth of FX Link, how cleared FX is helping the market minimize SA-CCR and UMR impacts, analyze block and EFRP trading increases, and more. Stay connected to what’s happening in FX today.

  • 27 Oct 2022
  • By CME Group

Regulatory factors drive increased adoption of CME Group FX: Cleared FX futures and options reach new all-time high


Contracts Notional ($B)
Single-day Record Volume 3M+ ~$272B
Record Open Interest 3.25M+ ~$294B
Large Open Interest Holders  (across major FX pairs) 967 YTD (+7% YoY)

Source: CME Group data as of Sept. 2022 (Single-day volume record as of Sept. 14, single-day open interest record as of Sept. 8)

Follow large open interest holders by client segment.

The sustained volatility in markets has helped push CME Group to a new record average daily volume in contracts across its FX suite of products.

SA-CCR: Will it drive participants toward cleared FX products?

The UMR framework is not the only potential catalyst for change coming from an evolving regulatory environment. Another theme getting increasing attention is the Standardized Approach to Counterparty Credit Risk (SA-CCR). These new rules governing how banks deal with counterparty credit risk is replacing the Current Exposure Methodology (CEM).

In this article, we explore the extent to which the new counterparty credit risk calculation for derivatives – SA-CCR – will drive participants toward cleared FX products to mitigate the expected impact on their bottom line.

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More clients turn to the only cleared, capital-efficient FX swap liquidity pool: FX Link record volumes up nearly 200%

Increased participation from banks is catalyzing activity, on FX Link - the firm, liquid, and transparent pool for FX swaps. September activity set a new monthly record of 46K+ contracts, average daily volume (+197% vs September 2021) representing $4.1B notional with multiple days over $6B.

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Blocks and EFRPs – Year-to-date average daily volume (ADV)

  • FX futures blocks: 5,401 (+28% YoY)
  • FX options blocks: 5,753 (+71% YoY)
  • EFRPs: 6,013 (+263% YoY)

Source: CME Group. Data as of Sept. 2022



Buy-side participants are recognizing how to use OTC relationships to access OTC-like liquidity to benefit from the margin, capital, and operational efficiencies of clearing, offered by 20+ firms.

Ones to watch

Upcoming product launches:

BTIC (Basis Trade at Index Close) for FX Futures

ZAR on FX Link

Tuesday and Thursday Expiries for G5 FX Options

For more information, please contact: fxteam@cmegroup.com


Watch our subject matter experts discuss the role, growth, and relevance of blocks and EFRPs as a complement to the central limit order book for cleared FX products in our latest webinar.

Case study: Reducing uncleared gross notional to reduce your AANA calculation

EFRPs allow asset managers and hedge funds to effectively utilize OTC relationships, lean on OTC liquidity, and ultimately benefit from centrally cleared FX positions with the notional excluded from the AANA calculation.

In our latest case study, we discuss how buy-side firms can use CME Group’s cleared FX products to manage the implications of being caught by uncleared margin rules and how futures and options on CME Globex, as well as blocks and EFRPs, can mitigate the impact.

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CME Group Volatility Index (CVOL™) is now streaming intra-day on CME Direct

CME Group has a range of FX volatility data to help investors track the level of volatility. Live streaming CVOL Indices complement end-of-day CVOL Indices, giving users the powerful combination of an intra-day market pulse alongside up to eight years of daily historical data. Clients can monitor risk expectations in real time with CVOL, a robust measure of 30-day implied volatility derived from the world's most actively traded options on futures.

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High inflation and a strong U.S. dollar – for now, the only way is up

Inflation is the ‘flavor of the year’ as economies swing into the aftermath of the pandemic. Central banks are tightening monetary policy to manage dips in their own currencies and curb the rise in inflation. This theme is particularly challenging for emerging market economies, as is the increasingly stronger U.S. dollar.

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Assessing the roll, assessing the quarter

The Q3 roll: September roll period was characterized by strong growth in quarterly roll volumes, increased roll spread volatility and substantial improvements in roll efficiency evidenced by increased transference of open interest across the G5 pairs. September roll activity was up across all G5 pairs, with average daily volume throughout the two-week roll period up +25% vs. the prior four roll periods.

September pace of roll

EUR/USD 85%  79%  +6% 
JPY/USD 83%  73%  +10% 
GBP/USD 91%  74%  +17% 
AUD/USD 82%   71%   +11%  
CAD/USD 81%  71%  +10% 

Displayed TOB execution cost, in ticks during RTH

EUR/USD 0.21  97% 
JPY/USD 0.21  97% 
GBP/USD 0.51  98% 
AUD/USD 0.23  90% 
CAD/USD 0.21  97%