The FX Report

FX Futures | FX Options | FX Link

In this edition: We recap the growth in FX futures and options in 2022. See how leading firms in FX are using bilaterally negotiated trades and the price discovery of our markets.

  • 30 Jan 2023
  • By CME Group


2022 saw exceptional growth in FX futures and options across both major and emerging market currency pairs, with all-time records in ADV and ADOI in contract terms. This was underpinned by a customer base of over 90,000 unique traders who utilize CME FX as a cleared, capital-efficient complement to the OTC market.

FX Volume & Open Interest 2022 Notional ($) YoY (%)
Futures & Options ADV $85.57B +24%
Futures & Options ADOI $271B +13%
FX Link ADV $2.2B +90%

Source: CME Group data: all-time FX volume and open interest records in 2022
ADV = Avg. daily volume | ADOI = Avg. daily open interest

Outlook 2023: Traders Magazine speaks to Paul Houston, Global Head of FX Products, CME Group

Will 2022’s strong growth in FX futures and options continue in 2023?

Read the interview

Blocks and EFRPs: What’s behind the growth in this trading style?

An interview with Societe Generale

Watch the head of FX Trading, Europe at Societe Generale discuss the increasing importance of FX blocks and EFRPs to help mitigate the costs of holding forward FX positions for hedge funds and asset managers.

FX blocks and EFRPs are bilaterally negotiated trades that allow customers to use OTC relationships and OTC liquidity, as well as access the potential margin, capital, and operational efficiencies of clearing.

Watch on-demand

FX Blocks and EFRPs 2022 YoY volume growth

  YoY (%)
FX Futures Blocks +37%
FX Options Blocks +48%
EFRPs +196%

Source: CME Group data as of Dec. 2022

Launching February 6: FX Basis Trade at Index Close (BTIC) and BTIC+

FX BTIC and BTIC+ will enable traders to use FX futures to gain or hedge exposure to the WM/Refinitiv (WMR) 4:00 p.m. benchmark rate.

Learn more

Using FX futures for liquidity, price discovery, and peer-to-peer trading

An interview with Transtrend

CME Group and Transtrend collaborated to discuss FX futures and how they provide liquidity, price discovery, and allow participants to trade on a peer-to-peer basis.

CME Group is home to the world’s largest regulated FX marketplace, with more than 40 currency pairs across G10 and emerging markets. In December, FX futures and options continued to show strong year-to-date growth in volume, supported by elevated volatility and increased buy-side adoption.

Read the interview

“A central limit order book of a futures market is an ideal way to ‘harvest’ such liquidity premiums. It allows us to provide liquidity and trade with everyone on the street.” – Transtrend

Roll(ing) with it: Using price discovery and complementary liquidity to roll forward FX risk

Last September, over $200B of FX positions in G5 currency pairs were rolled forward in CME Group FX futures – illustrating the large liquidity pool available to complement OTC liquidity, assist with price discovery, and optimize trading decisions. Read our paper to learn more about the transparent, firm liquidity for rolling forward FX positions.

Read more

The year-end FX turn: to everything there is a season

Increased demand for U.S. dollars around year-end creates an observable increase in USD-based funding rates. Participants who do not have explicit year-end dollar funding needs, such as asset managers and hedge funds, can still be impacted by adverse pricing and a more limited selection of liquidity providers as they roll their OTC FX forwards at year-end. In this article, we use pricing from FX Link to demonstrate this seasonal effect.

Read more

Launching 2023*: options on USD/CNH futures

Options on USD/CNH futures will launch this year. These European-style expirations will be physically deliverable into the underlying quarterly futures, giving traders more flexibility to manage exposure.

Contact the FX team for more

*Pending regulatory review

Assessing the roll, assessing the quarter

The Q4 roll: The December 2022 roll period was characterized by strong growth in quarterly roll volumes and improvements in roll efficiency, as evidenced by increased transference of open interest across G5 pairs. December roll activity was up across all G5 pairs, with ADV in the last week of the roll period +28% vs. the prior four roll periods.

December Pace of roll

Pair OI Rolled (DEC 2022) OI Rolled (Prior 20Q) Chng. Vs. Avg.
EUR/USD 84% 79% 5%
JPY/USD 75% 73% 2%
GBP/USD 82% 74% 8%
AUD/USD 75% 71% 4%
CAD/USD 82% 72% 10%

Displayed Top of Book execution cost, in ticks during RTH

  Pair   DEC 2022 % OF TIME AT MPI
EUR/USD 0.23 90%
JPY/USD 0.22 93%
GBP/USD 0.53 94%
AUD/USD 0.22 93%
CAD/USD 0.21 97%

Analyze past rolls and prepare for the next one

Bookmark the FX Quarterly Roll Analyzer Tool to help optimize your futures roll strategy.

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