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The quarterly roll period for CME FX Futures has begun this week as participants begin to shift their open interest from the expiring March front month quarterly futures contract (H3) to the deferred June quarterly futures contract (M3). FX Roll spread activity is focused in this two-week period immediately prior to the expiry date of the front month contract, with roll spread activity typically being most active in the second week of the roll period (March 6th through the 10th). The below headlines highlight key information on participant positioning, FX futures roll efficiency, and liquidity:

Trading activity and positioning (as of the end of February)

  • Open interest in FX futures and Options at $283 billion
  • Looking at the client positioning in our 3 most active FX futures contracts:
    • EUR: Buyside holding 50% of OI
    • JPY: Buyside holding: 50% of OI
    • GBP: Buyside holding: 60.2% of OI

Looking back on the June roll

  • Improved roll efficiency was evidenced by increased transference of open interest across a majority of G5 pairs (+6% versus the average)
    • 84% of OI was rolled in EUR
    • 75% of OI was rolled in JPY
    • 82% of OI was rolled in GBP
    • 75% of OI was rolled in AUD
    • 82% of OI was rolled in CAD


  • The CLOB remains the primary venue for price discovery, and risk transfer in FX Futures & Options
  • The CLOB is also being strongly augmented by Block, and EFRP activity
    • Names, and contact details for Block providers can be found here

Other Tools and Resources


  • WTI Weekly Crude Oil Options (LO1-LO5) had a record month in both volumes, and open interest in February 2023. These options provide traders with greater flexibility for risk management by offering more frequent expirations, and more granular strike prices in quarter increments.
  • Average daily volumes in February were a record 8.8K lots per day, up 19% from 2022, and average open interest was up 29% to 19.2K lots per day. These monthly records add to the recent robust activity in these options. Annual records were set in 2022 for these contracts as well, with average daily volumes over 5.8K lots per day, and average open interest above 12K lots per day.
  • Learn more about WTI Crude Oil Weekly options, and other Weekly energy options here.


Rates Futures Hit Open Interest Record Amid Treasury Futures Roll

  • The S. Treasury Futures quarterly roll cycle is coming to a conclusion, with more than 90% of Open Interest having rolled to the June 2023 contract as of Feb. 28th. Most notably, CME Interest Rate Futures hit an all-time Open Interest Record of 34.5 million contracts on February 23rd, demonstrating the increased need for risk management tools. As expected with this roll activity, volumes were significantly elevated with an ADV of 25.1 million contracts for CME’s Interest Rate F&O products last week.


  • New short-dated options for benchmark small-cap exposure are now live for E-mini Russell 2000 Tuesday, and Thursday options. Enjoy more versatility, and more opportunities to manage shorter-term equity market risk on the Russell 2000 Index with the E-mini Russell 2000 Tuesday and Thursday options. These new Tuesday, and Thursday-expiring contracts complement our existing suite of quarterly, end-of-month, and Monday, Wednesday, and Friday weekly E-mini Russell 2000 options.

Similar to E-mini S&P 500 and Nasdaq-100 weekly options, these short-term contracts offer more flexibility to manage risk around market-moving economic events. Fine-tune your small-cap exposure and tap into E-mini Russell 2000 futures liquidity. Learn more here.



  • CME Group offers a full suite of dairy futures and options to manage price risk and engage in price discovery, which trade nearly 24 hours a day on the CME Globex electronic platform.  All dairy futures, and options are financially settled against published USDA dairy prices, facilitating convergence of physical with the convenience of cash settlement.
  • There is significant potential for growth, as the underlying physical market in the U.S. is ~$45 Billion.  Exports were valued ~$10 Billion in 2022.
  • Class III Milk is by far the most liquid dairy derivative worldwide. Learn more here



  • Aluminum futures continue to evolve and gain traction as more market participants look to add exposure to the metal commodity market. It looks as if February will set yet another record with 3.3K contracts trading on average per day, with over 2.5K contracts of avg daily open interest as of February 27.
  • In addition, we are pleased to announce a new market development for Aluminum futures. Effective starting April 3, Platts will begin publishing a new daily U.S. aluminum CME-basis all-in price. The new data point will run alongside existing all-in calculations, and will provide market participants with an additional reference. Read the subscriber note.


  • CME Steel is on track to hit a 7th consecutive record year with 2,546 contracts traded daily YTD (+55% YoY). Record HRC volume on 23/2/2023 at 6,536 contracts traded. February is already the record ADV month in HRC at 2,150 contracts traded through 27 Feb.

One Week CME Group Volatility Index (CVOL) Aggregate Asset Class Variance

Original report published on CME Group.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss.  Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act.  Futures and swaps each are leveraged investments 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 either a futures or swaps 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 traders cannot expect to profit on every trade.

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