FX Volumes Drift in November, New Highs in NDFs

The first group of currency trading platforms to publish volume data indicate spot activity slowed fractionally from October, but were largely up year-on-year, while NDF volumes were boosted with two new peaks reported.

Deutsche Börse’s 360T saw spot average daily volume (ADV) decline fractionally to $33.9 billion per day in November, from $34 billion in October, but rise 7.3% year-on-year. In NDFs, 360T handled ADV of $2.08 billion, a 6% rise from October and up 20% year-on-year.

In terms of platform performance, 360T’s average round-trip time (RTT) was steady at 8.1ms, while 55% of volume was transacted on the New York matching engine, up 1% from October and the highest ratio this year, while London saw its share decline by 1% to 32% and Tokyo was unchanged at 13%. EUR/USD was the busiest pair on 360T at 25% (down from 27% in October, while USD/JPY, Cable and CNH were unchanged at 11%, 11% and 7% respectively – INR volumes, having peaked earlier this year, were also steady at 4% of overall volume.

Cboe FX also saw a slight decline in November, by 4.2% to $49.6 billion, however this is up 4% year-on-year. $18.6 billion of activity was on firm liquidity, down slightly from October but up a healthy 16.25% year-on-year. $35 billion per day was executed on the ECN, with the balance on Full Amount streams, and 94% was traded on an anonymous basis. NDF ADV was $3.51 billion, the highest yet reported by Cboe on its SEF. This is up 4% from October and up an impressive 88.9% year-on-year.

The average response time on Cboe FX was steady at 8ms and the non-firm fill rate rose two points to 92%, coincidentally only the second time (with March 2024) it has hit this level since Cboe started publishing the data in early 2023.

Fill rates also recovered slightly at Euronext FX, to 79.8% on the Skew Safe streams (from 78.8% in October), 94.1% on Full Amount (93.8%) and 73.8% on the platform (72%). ADV on Euronext FX was $23.7 billion, down 4% from October and also down, by 18.8% year-on-year. The average RTT was slightly quicker at 11.6ms to New York and 16.3ms to London (from 11.7 and 17.3ms), while 24.5% of volume traded firm was anonymous.

Finally, there was also a new peak for 24 Exchange’s NDF franchise. With the company celebrating the launch of its 24-hour US stock exchange, the FX business proved its worth by reporting a new high for NDF ADV at $4.93 billion. This is up 17.8% from October and up 32.1% year-on-year.