Following what it says was a successful implementation of reduced minimum price increments (MPI) in its G5 currency futures, CME Group is extending the concept to AUD/USD.
CME says “We have conducted detailed order book analysis which, together with client validation, supports the reduction of the MPI for AUD outrights.”
Therefore, from November 23, CME AUD futures will be quoted in half a tick increments, down from one tick, the exchange says testing in new release is available to customers. It adds that the MPI reductions in quarterly roll spreads of the G5 FX futures have delivered “enhanced price discovery” and enabled customers to “trade listed FX more cost effectively”.
During the September roll, CME says the order book traded at the new MPI for at least 90% of the trading day in these pairs, which contributed to an above average open interest transference of 79% (up 8%), along with end-user participation increasing 23%. Overall FX volume at CME in September was down 6.7% from the previous year at $96 billion per day, this compared to the majority of OTC FX platforms to report data who cited a year-on-year rise.