The FX Report

 FX Futures and Options | EBS


In this edition: Read about the plans for EBS Market enhancements, the significance of FX futures liquidity, how choice of execution is attracting more customers to CME Group, and more.

  • 26 Jul 2023
  • By CME Group

USD/JPY upsurge on EBS Market - liquidity when it’s most needed

Amidst the pronounced volatility in USD/JPY spot on October 3, the EBS Market central limit order book saw a surge in trading activity, reaching nearly 11 times the typical levels. This increase was facilitated by robust firm order inventory, trading at 65% of the price points and 94% of time intervals, ensuring reliable execution and abundant liquidity when it’s most needed.

Source: CME Group

Explore EBS Market

Best Global FX Trading Technology Provider and Best FX Exchange

CME Group was recognized as the Best Global FX Trading Technology Provider and Best FX Exchange at the Euromoney Foreign Exchange Awards 2023. Our emphasis on offering varied execution options attracted a significant increase in firms to our marketplace, resulting in record volumes as clients effectively navigated risk during a year marked by considerable volatility.

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Dispelling the myths around FX futures liquidity

The advantages of centrally cleared FX futures are gaining recognition, offering margin efficiencies for buy-side firms impacted by UMR and capital efficiencies for banks following SA-CCR regulations. Yet, a prevalent misconception pertains to liquidity. Many think that FX futures lack sufficient liquidity for their transactions and consider OTC venues the superior choice. The chart below compares CME FX futures daily volume with spot FX volumes on the leading OTC venues.

Source: CME Group, publicly reported spot FX data on respective venue websites
*Estimated spot FX volume, derived from publicly reported data

Read the advantages of using centrally cleared FX futures and effectively target liquidity in the highly fragmented global FX market.

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Interview: CME Group on the evolving FX futures and options landscape

The TRADE caught up with Paul Houston, Global Head of FX Products at CME Group, to discuss the drivers behind increased use of FX futures, how hedge funds and asset managers are interacting with FX futures liquidity, and future plans.

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Enhancing EBS Market - constructing a robust FX marketplace

CME Group is delivering a range of enhancements to its EBS spot FX, Metals, and NDF central limit order books to offer clients a more real-time trading environment, faster market data, and increased price flexibility. The improvements aim to strengthen the primary venue’s effectiveness in supporting price discovery and risk management. The roadmap below provides a targeted timeline of the upcoming enhancements.

CME Group Cross-Currency Basis Watch

Monitor the magnitude of EUR/USD cross-currency basis.

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Assessing the quarterly roll

The September 2023 roll period was characterized by strong growth in quarterly roll volumes and an improvement in roll liquidity, as evidenced by Top of Book (TOB) depth across the G5 FX futures. September roll spread volumes across the G5 FX futures were +16% while TOB displayed depth of 59K contracts, +139% vs. the prior four roll periods. Find more details in the FX Pace of Roll tool.

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Video: Capturing the 4:00 p.m. London WMR rate with precision using FX futures

Benchmark rates are a key feature of the FX market. FX BTIC allows customers to use FX futures to get direct exposure to the widely followed 4:00 p.m. London WMR benchmark rate, with the firm, transparent liquidity of the central limit order book and OTC-style trading via block transactions. 

How FX BTIC works

September average top of book (TOB) depth, in contracts during RTH

PAIR Sept 2023 Prior 4Q CHNG. VS. AVG.
EUR/USD 4,651 3,307 +41%
JPY/USD 7,333 2,013 +264%
GBP/USD 26,349 11,999 +120%
AUD/USD 8,528 2,003 +326%
CAD/USD 12,269 5,352 +129%

Source CME Group

Displayed top of book execution cost, in ticks during RTH

EUR/USD 0.21 97%
JPY/USD 0.22 95%
GBP/USD 0.51 98%
AUD/USD 0.22 95%
CAD/USD 0.21 97%

Source CME Group

Key facts on margining of CME FX futures and options

With over $40 trillion cleared in 2022, adoption of cleared FX products at CME Group is well underway and continues to grow. Get answers to some frequently asked questions about margining of CME FX futures and options.

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