Today’s Number: EUR/USD Open Interest


Editor’s Note: This is our first post in a new feature we’re calling Today’s Number. CME Group subject matter experts  will be highlighting critical numbers they see trending in the marketplace, and offer their perspective on the impact the number has on financial markets and the global economy.   


There are numerous political and economic risk events coming up in the next few weeks following the results of the French and Greek elections. The world may become more “risk-off” in the coming weeks as we work through potential volatility in various asset classes. As the Eurozone debt crisis continues to rattle markets and investors, EUR/USD  options Open Interest (OI) will likely remain high as market participants continue to take refuge in hedging their exposures with buying and holding lower positions on the euro.

We want to highlight a key trend in our EUR/USD May expiry 1.25 strike puts with high OI at nearly 10,000 lots. The trend has continued for the 1.25 put, breaking our previous OI record, and for the year setting new record highs of almost 50 percent greater than January. We see continued strong demand and trading in EUR/USD options, particularly around the May 4 expiry 1.25.

The chart below shows the growth in our July contact Open Interest where the strike is most prevalent.



As we hover around the key EUR/USD resistance level of 1.3000, we expect to see increasing open interest build in the June expiry EUR 1.2500 strike puts (most popular strike currently).  On May 4, CME had open interest around 6,500 lots. On Monday, even with the UK Bank holiday, CME OI climbed to over 8,300 lots. A “Risk-off” environment is back in play.

To stay on top of this trend be sure to bookmark our CFTC Commitment of Traders in FX Futures Report and our new FX options open interest tool.

Will Patrick is executive director of FX products at CME Group.

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