APRIL 2023

The FX Report

FX Futures | FX Options | FX Link

In this edition: Unique liquidity, clear benefits: Learn how to access what only CME Group FX can deliver. Explore the latest product developments including USD/CNH options and the ability to trade FX futures relative to the 4:00 p.m. WMR fixing, forces driving adoption of our products, changes in our market and the wider FX marketplace.

  • 26 Apr 2023
  • By CME Group

Unique liquidity drives growth and adoption of CME Group FX products

Cleared FX futures and options at CME Group reached all-time record single-day volume and open interest in March. These records were underpinned by the unique liquidity available to our diverse ecosystem of users during times of market volatility, and the increasing recognition of the benefits of using cleared FX futures and options.

FX futures and options Contracts Approx. Notional ($)
Record FX F&O single-day volume 3.2M $297B
Record FX F&O single-day open interest 3.3M $298B
Record FX block and EFRP single day-volume 274K $25.7B

Source: CME Group data as of March 2023

The Full FX analyzed the record results of FX futures and options.

Read The Full FX analysis

Buy-side adoption continues to surge in Mexican Peso futures

MXN/USD futures reach all-time volume and open interest records

The unique and primary liquidity available in Mexican Peso futures at CME Group has enabled a surge of buy-side adoption, with open positions increasing +170% in March 2023 vs. March 2022. A new single-day volume record of $9.2 billion and all-time open interest record of $12.7 billion was set for MXN/USD futures in March.


Case Study: Reduce FX overlay manager risk using FX futures

How a pension fund can quickly reduce their key service provider risk

Our latest case study discusses how a pension fund can use Exchange for Related Positions (EFRPs) to mitigate their key service provider risk related to their FX overlay manager, allowing the fund to transform their bilateral OTC FX forward exposure quickly and accurately into centrally cleared, capital-efficient FX futures.

View case study

OTC-style execution, same clear benefits: FX block and EFRP liquidity provider list grows

Trade CME Group centrally cleared FX products OTC-style with 20+ liquidity providers to access the potentially significant capital, margin, and operational benefits of clearing.

View the directory

Managing offshore renminbi risk?

Trade options on USD/CNH futures and take positions in an increasingly important global currency pair. These European-style expirations are physically deliverable into the underlying quarterly futures, giving traders more flexibility to manage exposure.

Read the FAQ

Can you judge a book by its cover?

Considerations for determining the liquidity and cost to trade in FX marketplace

In our latest article, we discuss a number of factors and information sources that should be considered to help make an informed assessment on the available liquidity, total cost to trade, and ultimately, the most efficient place to execute a given trade.

Read the article

Case Study: How to accurately manage your FX fixing risk

Gain direct exposure to the WMR 4:00 p.m. rate via FX futures

Trading against benchmark rates and managing fixing risk is a hugely important part of the global FX market. FX Basis Trade at Index Close (BTIC) and BTIC+ allows customers to gain direct exposure to the WMR benchmark rate via a cleared, regulated, all-to-all FX futures order book, hours or days in advance. In our latest case study, we discuss how this new mechanism works.

View case study

Assessing the quarterly roll

The March 2023 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. March roll activity was up across the G5 pairs, with ADV in the last week of the roll period +11% vs. the prior four roll periods.

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

View tool

March pace of roll

EUR/USD 88% 79% 9%
JPY/USD 84% 73% 11%
GBP/USD 82% 74% 8%
AUD/USD 78% 71% 7%
CAD/USD 79% 72% 7%

Source CME Group data as of March 2023

Displayed Top of Book execution cost, in ticks during RTH

EUR/USD 0.22 90%
JPY/USD 0.22 90%
GBP/USD 0.53 94%
AUD/USD 0.27 65%
CAD/USD 0.22 90%