CME FX Volume Holds Steady, EBS Rebounds from Lows
Posted by Colin Lambert. Last updated: April 3, 2024
CME Group’s FX futures and options product suite had their usual roll month bounce, while EBS bounced back from February’s lows, but volume remains significantly down on a year-on-year basis.
CME’s FX futures and options averaged 1.209 million contracts per day in March, a fraction lower than the 1.212 million in March 2023, representing a notional average daily volume (ADV) of $106.5 billion. This continues a steady run for the Merc in FX, with Q1 ADV fractionally above that in Q1 2023 at $85.4 billion.
Average Open Interest in FX futures in March was $217.4 billion, up 8.1% year-on-year, and CME says 5 March saw a new record in asset manager gross notional positions at $160 billion. CME has also released “pace of the roll” data, indicating that 79% of Open Interest was rolled across the G5 currency pairs.
CME’s FX Link had its busiest month since September 2023 at $2.54 billion per day – this is up 23.9% from February, but is fractionally down on the $2.6 billion traded in March 2023. Although activity on FX Link remains below the peaks of 2022 Q1 ADV was up some 30% on the same period in 2023.
Unsurprisingly perhaps given the US regional banking crisis in March 2023, volatility is lower in March 2024. The CME Group Volatility Index (CVOL) shows that the combined G5 CVOL index averaged 6.2 in March 2024, down 36% from March 2023 and down 24% from full-year 2023.
Meanwhile, CME’s OTC FX business, EBS, bounced back from a horrible February to record ADV of $54.9 billion, a fraction lower than the $55 billion seen in January. This is up 22% from February, where EBS seemed to be particularly impacted by the Lunar New Year, but is down 19.3% year-on-year. March also marks the 12thmonth in succession that EBS has reported ADV under $60 billion across its platforms.
As previously reported by The Full FX, there was good news for the platform in the fourth largest trading day for USD/CNH at $24.2 billion, highlighting the growing importance of the pair to EBS, along with insight into its NDF business, which recorded almost $13 billion in ADV in one-month Asian NDFs.
