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Foreign Exchange

FX news: Record days on CME, but ICE slips

CME reported record days in FX options on Tuesday and Wednesday, transacting notionals of $25.0 billion and $26.1 billion respectively, single count. Unsurprisingly, the overwhelming majority of this was in EUR/USD options and around 60% of the trades were EUR puts.


CME currency futures also had above average days, coming in at $146 billion and $172 billion. Wednesday’s overall FX volume (futures and options) was a record $198 billion.


ICE currency futures – almost entirely composed of trading in USD index futures – showed average daily volume for April of 24,299 contracts – equivalent to a notional of about $2 billion. While this is more than three times April 2009’s average daily volume, it is slightly off the year-to-date run rate – last reported in mid-March – of 27,050 contracts. The difference is likely due to minimal volumes over Easter.



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