CME changes how it calculates fixings for FX options contracts
Changes will take place April 19
The CME will change the way it calculates fixing levels for the 10 am New York options cut starting April 19.
The calculation will expand to 20 trades in a 60-second window at the fix.
It applies to options for GBP, CAD, JPY, CHF, AUD, MXN, NZD, ZAR. EUR, CZK, HUF, PLN and ILS -- all against the dollar.
Lately there have been some huge moves into the fix, including in AUD/USD yesterday. For some of these contracts, a one pip difference means millions.