Open interest in EUR/USD FX futures grows to an all-time record level
Futures & Commodities

Open interest in EUR/USD FX futures grows to an all-time record level

By September 24, 2020 No Comments

More than $210bn held across all currency pairs, including $121.2bn in EUR/USD

Minimum Price Increment (MPI) reductions of 50-60% in the G5 currency pairs have helped grow record levels of open interest combined with elevated levels of risk transference during the September roll – with EUR/USD leading the trend, breaking through its open interest barrier for the 10th time in 2020 and reaching more than $121bn.i

This surge in open interest has been underpinned by the largest-ever net long positions by asset managers in both EUR and JPY against the US dollar.ii

Source: CME Group, data as of Sept. 14 2020
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Focus on the September roll: Impact of minimum price increment reductions

Buy-side customers have benefitted from improved price discovery and meaningful cost reductions during the roll period, which was coupled with further use of calendar spreads by dealers as a capital- efficient complement to bilateral FX swaps. This led to an 18% increase in bank participation and a 25% increase in participation from asset managers and other end users in EUR/USD calendar spreads.iii

Performance metrics from the September rolliv

i. As of Sept. 14.
ii. As of Aug 18 and Aug 25, respectively.
iii. Compared to the prior four rolls.
iv. During regular trading hours of the primary roll week – Sept. 8-11.
Published on Septembebr 2020. Source: CME Group.