FOURTH QUARTER QUARTERly FX. A Global Trading Summary of FX Futures and Options. Highlights Futures Options

Transcription

1 FOURTH QUARTER 2010 QUARTERly FX Update A Global Trading Summary of FX Futures and Options Highlights Futures Options

2 As the world s leading and most diverse derivatives marketplace, CME Group ( is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed and over-the-counter derivatives markets. FX products DESIGNED FOR THE RAPID PACE OF A GLOBAL MARKETPLACE. With $4.0 trillion traded daily, FX markets represent the largest asset class in the world. CME Group offers the world s largest regulated FX marketplace and one of the top two FX platforms with over $110 billion in daily liquidity. We offer transparent pricing in a regulated centralized marketplace that provides all participants equal access to 54 futures contracts and 31 options contracts based on 20 major world and emerging market currencies. Trading FX at CME Group gives you effective and efficient investment and risk management opportunities and unprecedented access to a global array of market participants including banks, hedge funds, proprietary trading firms and individual traders. Additionally, we will offer comprehensive and flexible clearing services for OTC FX trades through CME ClearPort an open-access, platform agnostic, post-execution clearing solution.

3 FX Quarterly Update HIGHLIGHTS December 2010 Overall Fourth Quarter Highlights CME Group FX volume averaged 919,196 contracts per day in Q4, up 22 percent compared with the same period a year ago, reflecting average daily notional value of $118.5 billion. October Highlights CME Group FX volume averaged 889,000 contracts per day, up 19 percent compared with October 2009, reflecting an average daily notional value of $121 billion. November Highlights CME Group FX volume averaged 964,000 contracts per day, up 23 percent compared with November 2009, reflecting an average daily notional value of $131 billion. December Highlights CME Group FX volume averaged 811,000 contracts per day, up 10 percent compared with December 2009, reflecting an average daily notional value of $107 billion. Fourth Quarter Announcements FX Vol - Realized Volatility Futures Launching Q CME Group will be launching a set of FX Realized Volatility futures, called FX Vol, in major currency pairs, starting with the euro. The EUR/USD 1-month and 3-month Realized Volatility futures will launch on Sunday, February 6 (trade date Monday, February 7). These are the first futures contracts that offer direct trading of FX volatility, and the first that settle to realized rather than implied volatility. They offer a standardized, listed and transparent means of controlling price risk. In addition, they will provide spread opportunities against CME's listed FX futures and options products. FX Vol will be offered under a license agreement with VolX, which controls a patent on Vol. The contracts will be cash-settled to either a 1- or 3-month historical or "realized" volatility calculated by reference to daily price movements in major CME currency futures. The realized volatility calculation is based on a simple standard deviation formula. The contracts are valued at $1,000 x the computed realized volatility for the specific time period. For additional information on FX Vol, visit Three New E-micro Forex Futures - Launched December 19, /10 the standard contract size. Nine Currency Pairs. Quoted in Interbank and IMM Terms. Physically Delivered. CME Group launched three new E-micro Forex futures contracts on Sunday, December 19 (trade date December 20): CAD/USD, CHF/USD and JPY/USD. With the addition of these new contracts, we now offer nine E-micro Forex futures. The three new E-micro Forex contracts along with the three previously offered U.S. denominated currency pairs (EUR/USD, GBP/USD and AUD/USD) allow for perfect offsets with corresponding standard-size FX futures on a 10:1 ratio, as well as one lot hedges with Dow Jones CME FX$INDEX futures contracts. For additional information on E-micro Forex futures, visit 3

4 Fourth Quarter 2010 Futures Average Daily Volume Open Interest 20 Day Hist. Volatility Open Interest Price Close 30 Dec-' YTD Price Return EUR/USD E-mini Euro 5,691 $483 5, % 8.95% Euro 350,860 $59, ,687 $26,811 Euro Total 356,551 $60, ,933 $27,250 JPY/USD E-mini Japanese Yen 286 $ $ % 7.98% Japanese Yen 111,744 $16, ,596 $18,744 Japanese Yen Total 112,030 $16, ,547 $18,818 GBP/USD British Pound 104,616 $10,345 82,354 $8, % 9.43% CHF/USD Swiss Franc 42,225 $5,413 47,017 $6, % 10.47% CAD/USD Canadian Dollar 83,849 $8, ,607 $12, % 5.10% AUD/USD Australian Dollar 93,958 $9, ,815 $12, % 8.45% MXN/USD Mexican Peso 27,925 $1, ,356 $4, % 6.92% RMB/USD Chinese RMB 37 $6 1,428 $ % 2.27% Options Open Interest 2010 YTD Price Return 20 Day Hist. Volatility EUR/USD Euro 26,953 $4, ,288 $45, % 8.95% JPY/USD Japanese Yen 5,956 $903 72,736 $11, % 7.98% GBP/USD British Pound 3,934 $388 52,291 $5, % 9.43% CAD/USD Canadian Dollar 3,120 $308 34,134 $3, % 5.10% CHF/USD Swiss Franc 914 $116 8,721 $1, % 10.47% AUD/USD Australian Dollar 3,202 $313 43,303 $4, % 8.45% Cross Notional (Euro millions) Notional (USD millions) Open Interest Notional (Euro millions) Notional (USD millions) Price Close 30- Dec-' YTD Price Return 20 Day Hist. Volatility Euro/Japanese Yen 1, $171 6, $1, % 7.50% Euro/British Pound 1, $194 5, $ % 6.99% Euro/Swiss Franc $141 4, $ % 8.84% Total Futures and Options Quarterly Open Interest Total Futures 842, , , ,315 Total Options 44,531 6, ,263 71,602 Grand Total Futures & Options 886, ,628 1,405, ,917 4

5 FX Quarterly Update December 2010 Futures Average Daily Volume Open Interest Open Interest Price Close 30 Dec-' YTD Price Return EUR/USD E-mini Euro 5,156 $426 5, % 8.95% Euro 306,237 $50, ,687 $26,811 Euro Total 311,392 $51, ,933 $27, Day Hist. Volatility JPY/USD E-mini Japanese Yen 275 $ $ % 7.98% Japanese Yen 113,447 $17, ,596 $18,744 Japanese Yen Total 113,722 $17, ,547 $18,818 GBP/USD British Pound 95,049 $9,286 82,354 $8, % 9.43% CHF/USD Swiss Franc 41,560 $5,346 47,017 $6, % 10.47% CAD/USD Canadian Dollar 74,331 $7, ,607 $12, % 5.10% AUD/USD Australian Dollar 81,838 $8, ,815 $12, % 8.45% MXN/USD Mexican Peso 32,668 $1, ,356 $4, % 6.92% RMB/USD Chinese RMB 38 $6 1,428 $ % 2.27% Options Open Interest 2010 YTD Price Return 20 Day Hist. Volatility EUR/USD Euro 23,145 $3, ,288 $45, % 8.95% JPY/USD Japanese Yen 4,703 $706 72,736 $11, % 7.98% GBP/USD British Pound 3,879 $377 52,291 $5, % 9.43% CAD/USD Canadian Dollar 2,307 $229 34,134 $3, % 5.10% CHF/USD Swiss Franc 577 $71 8,721 $1, % 10.47% AUD/USD Australian Dollar 2,803 $ ,303 $4, % 8.45% Cross Notional Notional Open Interest Notional Notional Price Close YTD Price 20 Day Hist. (Euro millions) (USD millions) (Euro millions) (USD millions) Sep-'10 Return Volatility Euro/Japanese Yen 1, $203 6, $1, % 7.50% Euro/British Pound 1, $209 5, $ % 6.99% Euro/Swiss Franc $154 4, $ % 8.84% Total Futures and Options Monthly Open Interest Total Futures 773, , , ,315 Total Options 37,877 5, ,263 71,602 Grand Total Futures & Options 811, ,759 1,405, ,917 5

6 Annual Total Futures & Options Futures ($m illions) Open Interest ($m illions) Price Close 30 Dec-' YTD Price Return 20 Day Hist. Volatility EUR/USDE-mini Euro 4,922 $406 5, % 8.95% Euro 340,838 $56, ,687 $26,811 Euro Total 345,760 $56, ,933 $27,250 JPY/USD E-mini Japanese Yen 266 $ $ % 7.98% Japanese Yen 125,941 $17, ,596 $18,744 Japanese Yen Total 126,207 $17, ,547 $18,818 GBP/USDBritish Pound 119,448 $11,498 82,354 $8, % 9.43% C HF/USD Swiss Franc 47,475 $5,669 47,017 $6, % 10.47% C AD/USD Canadian Dollar 87,288 $8, ,607 $12, % 5.10% AUD/USD Australian Dollar 102,385 $9, ,815 $12, % 8.45% MXN/USD Mexican Peso 26,737 $1, ,356 $4, % 6.92% RMB/USD Chinese RMB 20 $3 1,428 $ % 2.27% Options Open In te res t 2010 YTD Price 20 Day Hist. ($m illions ) ($m illions ) Return Volatility E UR/USD Euro 26,716 $4, ,288 $45, % 8.95% JPY/USD Japanese Yen 5,456 $783 72,736 $11, % 7.98% G BP/USDBritish Pound 4,869 $466 52,291 $5, % 9.43% C AD/USD Canadian Dollar 3,600 $348 34,134 $3, % 5.10% C HF/USD Swiss Franc 728 $88 8,721 $1, % 10.47% AUD/USD Australian Dollar 2,183 $201 43,303 $4, % 8.45% Cross Open Interest Price Close 30- Dec-' YTD Price Return 20 Day Hist. Volatilit y Notional Notional Notional Notional (Euro millions) (USD millions) (Euro millions) (USD millions) Euro/Japanese Yen 1, $189 6, $1, % 7.50% Euro/British Pound 1, $179 5, $ % 6.99% Euro/Swiss Franc $97 4, $ % 8.84% Total Futures and Options Annual Open Interest Total Futures 875, , , ,315 Total Options 43,561 6, ,263 71,602 Grand Total Futures & Options 919, ,496 1,405, ,917 6

7 FX Quarterly Update Average Daily Volume (in contracts) FX Futures Average Daily Volume and Notional Value AUD/USD CHF/USD CAD/USD GBP/USD JPY/USD EUR/USD Approximately Notional Value (in billions of dollars) 1,250,000 1,200,000 1,150,000 1,100,000 1,050,000 1,000, , , , , , , , , , , , , , , , , , ,000 50, Sep-03 Dec-03 Mar-04 Jun-04 Sep-04 Dec-04 Mar-05 Jun-05 Sep-05 Dec-05 Mar-06 Jun-06 Sep-06 Dec-06 Mar-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Average Daily Volume (in contracts) 80,000 FX Options Average Daily Volume and Notional Value CHF/USD EUR/USD GBP/USD JPY/USD CAD/USD Approximately Notional Value (in billions of dollars) 70, ,000 50, ,000 30, ,000 10, Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 7

8 Historical Volatility - 20 Day 39.00% GBP JPY Euro 36.00% 33.00% 30.00% 27.00% 24.00% 21.00% 18.00% 15.00% 12.00% 9.00% 6.00% 3.00% 12/30/2004 3/30/2005 6/30/2005 9/30/ /31/2005 3/31/2006 6/30/2006 9/30/ /31/2006 3/31/2007 6/30/2007 9/30/ /31/2007 3/31/2008 6/30/2008 9/30/ /31/2008 3/31/2009 6/30/2009 9/30/ /31/2009 3/31/2010 6/30/2010 9/30/ /31/2010 Historical Volatility - 20 Day 78.00% AUD CAD CHF 73.00% 68.00% 63.00% 58.00% 53.00% 48.00% 43.00% 38.00% 33.00% 28.00% 23.00% 18.00% 13.00% 8.00% 3.00% 12/30/2004 3/30/2005 6/30/2005 9/30/ /31/2005 3/31/2006 6/30/2006 9/30/ /31/2006 3/31/2007 6/30/2007 9/30/ /31/2007 3/31/2008 6/30/2008 9/30/ /31/2008 3/31/2009 6/30/2009 9/30/ /31/2009 3/31/2010 6/30/2010 9/30/ /31/2010 8

9 FX Quarterly Update Historical Volatility - 20 Day 48.00% 45.00% 42.00% 39.00% 36.00% 33.00% 30.00% 27.00% 24.00% 21.00% 18.00% 15.00% 12.00% 9.00% 6.00% 3.00% 0.00% EURO/JPY EURO/GBP EURO/CHF 9/30/ /31/2004 3/31/2005 6/30/2005 9/30/ /31/2005 3/31/2006 6/30/2006 9/30/ /31/2006 3/31/2007 6/30/2007 9/30/ /31/2007 3/31/2008 6/30/2008 9/30/ /31/2008 3/31/2009 6/30/2009 9/30/ /31/2009 3/31/2010 6/30/2010 9/30/ /31/2010 Historical Volatility - 20 Day 78.00% EURO GBP JPY AUD CHF CAD 73.00% 68.00% 63.00% 58.00% 53.00% 48.00% 43.00% 38.00% 33.00% 28.00% 23.00% 18.00% 13.00% 8.00% 3.00% 3/28/2006 6/28/2006 9/28/ /28/2006 3/28/2007 6/28/2007 9/28/ /28/2007 3/28/2008 6/28/2008 9/28/ /28/2008 3/28/2009 6/28/2009 9/28/ /28/2009 3/28/2010 6/28/2010 9/28/ /28/2010 9

10 Historical Volatility - 20 Day 90.00% MXN RMB BRL KRW RUB ILS PLN 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% 9/30/ /31/2004 3/31/2005 6/30/2005 9/30/ /31/2005 3/31/2006 6/30/2006 9/30/ /31/2006 3/31/2007 6/30/2007 9/30/ /31/2007 3/31/2008 6/30/2008 9/30/ /31/2008 3/31/2009 6/30/2009 9/30/ /31/2009 3/31/2010 6/30/2010 9/30/ /31/2010 GBP EURO JPY CHF CAD AUD MXN RMB BRL KRW RUB ILS PLN EURO/JPY EURO/GBP EURO/CHF S&P Gold Libor GSCI Silver PLAT PALL Copper USCRWTIC DJCMED GBP 1 EURO JPY CHF CAD AUD MXN RMB BRL KRW RUB ILS PLN EURO/JPY EURO/GBP EURO/CHF S&P Gold Libor GSCI Silver PLAT PALL Copper USCRWTIC DJCMED

11 FX Quarterly Update 11

12 CME Globex Average Hourly Trading Ranges for Fourth Quarter

13 FX Quarterly Update CME Globex Average Hourly Trading Ranges for Fourth Quarter

14 CME Globex Average Hourly Trading Ranges for Fourth Quarter

15 FX Quarterly Update Average Hourly Globex Bid/Ask Book Depth and Bid/Ask Spread Width for 4 th Qtr

16 Average Hourly Globex Bid/Ask Book Depth and Bid/Ask Spread Width for 4 th Qtr 2010 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures. The Globe logo, CME and CME Group are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago Board of Trade are trademarks of The Board of Trade of the City of Chicago, Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Group for general purposes only. Although every attempt has been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT and CME Group rules. Current rules should be consulted in all cases concerning contract specifications. 16

17 If you re looking for an edge in fx, Look no further than cme group FX PRODUCTS. To get started trading CME Group FX Products, or for more information, call a member of our FX product team or visit CME GROUP GLOBAL FX TEAM Managing Director of FX and Interest Rate Products Derek Sammann derek.sammann@cmegroup.com Global Head of FX Products Roger Rutherford roger.rutherford@cmegroup.com CHICAGO Scott Brusso scott.brusso@cmegroup.com Craig LeVeille craig.leveille@cmegroup.com Dave Schulz david.schulz@cmegroup.com LONDON Will Patrick will.patrick@cmegroup.com SINGAPORE KC Lam kc.lam@cmegroup.com Ashley Heng ashley.heng@cmegroup.com

18 CME Group headquarters CME Group REGIONAL offices 20 South Wacker Drive Chicago, Illinois cmegroup.com New York Calgary London Houston Singapore São Paulo Tokyo Washington D.C Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures. CME Group is a trademark of CME Group, Inc. The Globe Logo, CME, Chicago Mercantile Exchange, and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago. New York Mercantile Exchange and NYMEX are registered trademarks of the New York Mercantile Exchange, Inc. All other trademarks are the properties of their respective owners. The information within this brochure has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, and NYMEX rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 2011 CME Group. All rights reserved. FX266.4/0/0211