How do increase data transfer rate between my VMs

Since it seems to be a solution, I am adding it as answer:

When creating a VM, the default network adapter is an emulated Intel E1000E. This adapter works in most operating systems without additional drivers, but is unstable and can only use 1Gbit.

To use full 10 Gbit traffic between vms on the same host (or through 10Gbit connections to your network) you have to add a vmxnet3 adapter. You cannot change the adapter type, you have to create a new one. Even if you use the powercli to change the adapter type, it will create a new adapter, so network settings and mac address will be reset.

In order for the vmxnet3 adapter to work, on some systems (especially Windows) you have to install VMware Tools, since the drivers for this adapter are included there (Thanks to Gerald and John for the additional information).