First Quarter Quarterly FX Update. A Global Trading Summary of FX Futures and Options Highlights Futures Options. How the world advances

Transcription

1 FX First Quarter 2011 Quarterly FX Update A Global Trading Summary of FX Futures and Options»» Highlights»» Futures»» Options How the world advances

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 HIGHLIGHTS March 2011 Overall First Quarter Highlights CME Group FX volume averaged 960,770 contracts per day in Q1, up 8 percent compared with the same period a year ago, reflecting average daily notional value of $129 billion. January Highlights CME Group FX volume averaged 939,000 contracts per day, up 15 percent compared with January 2010, reflecting an average daily notional value of $126 billion. February Highlights CME Group FX volume averaged 932,975 contracts per day, unchanged compared with February 2010, reflecting an average daily notional value of $126 billion. March Highlights CME Group FX volume averaged 1,002,663 contracts per day, up 11 percent compared with March 2010, reflecting an average daily notional value of $134 billion. First Quarter Announcements FX Vol - Realized Volatility Futures Now Available This past February, CME Group launched a set of FX Realized Volatility futures, called FX Vol, starting with the euro. The EUR/USD 1-month and 3-month Realized Volatility futures are now available for trading. 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. For additional information on FX Vol, visit Expansion of Listings for BRL/USD AND RUB/USD BRL/USD (Brazilian Real) Futures In response to customer demand, we recently expanded the listing of BRL/USD (Brazilian real) futures by adding 20 quarterly maturities in the March, June, September and December cycle. The additional years 6 through 10 for the March quarterly cycle will be listed for trading on CME Globex for June 2016 through and including March Additionally, on April 3, 2011, 80 additional BRL/USD futures serial contract months (i.e., January, February, April, May, July, August, October, November) were listed for trading on CME Globex so that a total of 120 consecutive calendar months will always be listed (i.e., former March, June, September, December quarterly cycle plus serial month listings result in consecutive calendar month listings out 10 years). Customers can now trade consecutive calendar month expirations for a total maturity range of 10 years for BRL/USD futures. RUB/USD (Russian Ruble) Futures and Options Our customers have expressed concerns around credit restraints with certain counterparties in the RUB/USD market to dates throughout the first-year maturity, therefore, we ve added the following additional listings: RUB/USD futures: Filled in the serial non-march quarterly cycle months such that we have listed 12 consecutive contract months for the 1st year of maturity. These combined with the existing 16 additional March quarterly months cover a total maturity range of 5 years.

4 RUB/USD options: Filled in the serial non-march quarterly cycle months such that we have listed 12 consecutive contract months for the 1st year of maturity. Also, we listed 4 weeklies on the nearby consecutive contract months, either March quarterly or non-march quarterly contract months. The new weekly options on serial contract months supplement the current weekly options on the March quarterly cycle futures. 2

5 FX Quarterly Update First Quarter 2011 Futures Average Daily Volume ADV ADV $Notional Open Interest O.I. $Notional 20 Day Hist. Volatility Open Interest Price Close 31 Mar-' YTD Price Return EUR/USD E-mini Euro 5,969 $510 5,590 $ % 8.87% Euro 343,425 $58, ,985 $39,660 Euro Total 349,394 $59, ,575 $40,156 JPY/USD E-mini Japanese Yen 512 $39 1,516 $ % 13.05% Japanese Yen 143,206 $21,785 91,184 $13,680 Japanese Yen Total 143,718 $21,824 92,700 $13,794 GBP/USD British Pound 128,590 $12,880 98,434 $9, % 7.83% CHF/USD Swiss Franc 50,659 $6,740 55,463 $7, % 9.83% CAD/USD Canadian Dollar 82,675 $8, ,214 $12, % 7.89% AUD/USD Australian Dollar 106,431 $10, ,129 $14, % 12.58% MXN/USD Mexican Peso 34,605 $1, ,099 $5, % 8.11% RMB/USD Chinese RMB 40 $6 852 $ % 1.18% Options ADV ADV $Notional Open Interest O.I. $Notional 2011 YTD Price Return 20 Day Hist. Volatility EUR/USD Euro 23,905 $4, ,758 $44, % 8.87% JPY/USD Japanese Yen 6,696 $1, ,317 $18, % 13.05% GBP/USD British Pound 4,197 $419 56,681 $5, % 7.83% CAD/USD Canadian Dollar 2,493 $252 43,125 $4, % 7.89% CHF/USD Swiss Franc 896 $119 13,219 $1, % 9.83% AUD/USD Australian Dollar 2,442 $243 43,674 $4, % 12.58% Cross ADV Notional (Euro millions) ADV Notional (USD millions) Open Interest O.I. Notional (Euro millions) O.I. Notional (USD millions) Price Close 31- Mar-' YTD Price Return 20 Day Hist. Volatility ADV Euro/Japanese Yen 1, $225 6, $1, % 16.77% Euro/British Pound 1, $197 7, $1, % 6.94% Euro/Swiss Franc 1, $210 3, $ % 10.81% Total Futures and Options ADV ADV $Notional Open Interest O.I. $Notional Total Futures 920,139 $122,921 1,070,527 $121,197 Total Options 40,631 $6, ,274 $79,624 Grand Total Futures & Options 960,770 $129,036 1,602,801 $200,822 3

6 March 2011 Futures Average Daily Volume Open Interest ADV ADV $Notional Open Interest O.I. $Notional Price Close 31 Mar-' YTD Price Return EUR/USD E-mini Euro 5,335 $467 5,590 $ % 8.87% Euro 323,379 $56, ,985 $39,660 Euro Total 328,714 $56, ,575 $40, Day Hist. Volatility JPY/USD E-mini Japanese Yen 754 $58 1,516 $ % 13.05% Japanese Yen 163,652 $25,065 91,184 $13,680 Japanese Yen Total 164,406 $25,123 92,700 $13,794 GBP/USD British Pound 127,532 $12,866 98,434 $9, % 7.83% CHF/USD Swiss Franc 55,063 $7,477 55,463 $7, % 9.83% CAD/USD Canadian Dollar 93,191 $9, ,214 $12, % 7.89% AUD/USD Australian Dollar 120,890 $12, ,129 $14, % 12.58% MXN/USD Mexican Peso 45,851 $1, ,099 $5, % 8.11% RMB/USD Chinese RMB 63 $ $ % 1.18% Options ADV ADV $Notional Open Interest O.I. $Notional 2010 YTD Price Return 20 Day Hist. Volatility EUR/USD Euro 18,581 $3, ,758 $44, % 8.87% JPY/USD Japanese Yen 9,514 $1, ,317 $18, % 13.05% GBP/USD British Pound 3,034 $306 56,681 $5, % 7.83% CAD/USD Canadian Dollar 2,529 $257 43,125 $4, % 7.89% CHF/USD Swiss Franc 767 $104 13,219 $1, % 9.83% AUD/USD Australian Dollar 2,412 $240 43,674 $4, % 12.58% Cross ADV ADV Notional ADV Notional Open Interest O.I. Notional O.I. Notional Price Close YTD Price 20 Day Hist. (Euro millions) (USD millions) (Euro millions) (USD millions) Mar-'11 Return Volatility Euro/Japanese Yen 2, $369 6, $1, % 16.77% Euro/British Pound 1, $282 7, $1, % 6.94% Euro/Swiss Franc 1, $260 3, $ % 10.81% Total Futures and Options ADV ADV $Notional Open Interest O.I. $Notional Total Futures 965,817 $128,529 1,070,527 $121,197 Total Options 36,846 $5, ,274 $79,624 Grand Total Futures & Options 1,002,663 $134,121 1,602,801 $200,822 4

7 FX Quarterly Update 5

8 6

9 FX Quarterly Update 7

10 8

11 FX Quarterly Update IMM, ' IMM Commitment of Traders Net Speculative Positions EC SF JY BP AD CD positive values indicate net long positions & negativevalues indicate net short positions IMM, ' IMM Commitment of Traders Net Commercial Positions Source: CFTC EC SF JY BP AD CD positive values indicate net long positions & negative values indicate net short positions 9

12 CME Globex Average Hourly Trading Ranges for First Quarter

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

14 CME Globex Average Hourly Trading Ranges for First Quarter

15 FX Quarterly Update Average Hourly Globex Bid/Ask Book Depth and Bid/Ask Spread Width for 1 st Qtr

16 Average Hourly Globex Bid/Ask Book Depth and Bid/Ask Spread Width for 1 st Qtr

17 FX Quarterly Update Average Hourly Globex Bid/Ask Book Depth and Bid/Ask Spread Width for 1 st Qtr

18 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 cmegroup.com/fx. 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

19 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. FX314.1/0/0511