CME Delists FX VQOs
Posted by Colin Lambert. Last updated: October 5, 2022
CME Group has delisted its FX volatility-quoted options (VQOs) across AUD, CAD, EUR, GBP, JPY and CHF.
The products were launched in November 2016 to allow traders to quote FX options in volatility terms rather than price to better reflect customs in the OTC market. They offered traders the ability to trade an option with an attached delta hedge into the corresponding futures contract. Users could also access triangulation with changes in futures and options prices, making it a quicker process.
CME says the VQOs were delisted from Globex last week (September 26) and information regarding the contracts have been deleted from the respective product rule chapters of the rulebook. It adds there was no Open Interest in the contracts at de-listing.