Intervention Helps FX Platforms Maintain Steady Volume in July

FX platforms received a late month boost to their volumes with the joint intervention on 30 and 31 July, meaning what was generally a quieter month ended with average daily volumes largely unchanged from June but healthily up year-on-year.

CME Group’s EBS platform clearly benefited from the intervention, with over $102 billion being traded in yen alone during the event, and this helped propel the platform’s spot and NDF ADV to $70 billion for the month, the highest July ADV since 2018. This is up 2.9% on June and up 24.8% year-on-year.

CME’s FX futures and options franchise saw its customary drop off from a roll month, with notional ADV of $71 billion per day, however activity was up 7.6% year-on-year – incidentally, the last time the two franchises had volumes this similar was January 2021, when futures and options recorded $800 million per day more than the cash venue. FX futures ADNV grew 3% and options on futures by 9%, CME says the latter saw particular growth in yen, with volumes up 127% year-on-year (beaten, incidentally, by CHF at +132%).

Interestingly, CME did not record a notable growth in yen activity in its futures, highlighting instead increases in AUD (+16% to $5.4 billion), CAD (+19% to $4.6 billion), CHF (22% to $4 billion) and MXN (+41% to $1.4 billion).

CME’s FX Link has ADV of $5.2 billion, down 7% from June, but up 38.7% year-on-year, while the G5 CVOL Index averaged 5.9 in July, the lowest monthly average since The Full FX started tracking the data in January 2024.

As previously reported, other platforms also got a late boost from the surge in yen activity, although most were still slightly down on June. FXSpotStream reports total FX ADV of %158.1 billion, down 1.2% from June’s record ADV, but up 51.7% year-on-year. Within this, spot ADV was $112.2 billion, the third highest recorded by the service, -0.1% from June and +64% year-on-year. Non-spot ADV at $45.9 billion was down 2% from June and up 28.2% year-on-year.

360T, meanwhile, reports spot ADV across its venues of $40.4 billion, down 5% from June, but up 21% year-on-year. Understandably, yen’s share of activity rose sharply by three points to 10% of activity, although Cable also saw a 3% rise, to 11% of volume. EUR/USD dropped two points to 25%, while CNH and INR both dropped one point to 8% and 6% respectively.

Again unsurprisingly, the Tokyo matching engine saw a rise in share at 360T, counting for 15% of volume (up from 11%), while London rose one point to 40% and New York dropped five points to 45%. That is the highest London share and lowest New York, since The Full FX started tracking the data in July 2023. The average round-trip time (RTT) dropped on 360T to 7.7ms from 8.6ms in June.

Cboe FX reports spot ADV of $56.8 billion, a 5% drop from June, but up 24.6% year-on-year, of this $23.1 billion per day was firm liquidity, down 1.3% from June but up 43.5% year-on-year. The ECN handled ADV of $41.6 billion in July (down from $43.5 billion in June), while the full amount streams were responsible for $15.2 billion per day ($16 billion). The non-firm fill rate was unchanged at 93%, while 94.3% of volume was executed anonymously, down from 95% in June, and the average response time was solid at this year’s average of 7ms.

Euronext FX also saw a slight dip in spite of the late month boost, reporting ADV of $28.2 billion, down 4% from June, but up 10.9% year-on-year. Fill rates dipped slightly, on Skew Safe to 86.3% (from 87% in June), Full Amount to 95.2% (95.6%) and the platform to 77% (77.9%), while 25% of firm volume was anonymous. The average RTT on Euronext FX was 9.2ms to New York and 10.5ms to London, both broadly similar to June.

New High at 24X But NDFs Also Steady

Meanwhile, a similar pattern was seen in NDF volume data, with the three venues to report results showing largely steady activity from June, but all healthily up year-on-year.

24 Exchange hit its latest record ADV in July at $9.5 billion, up 3.25% from its previous peak in June, and up a massive 138.7% year-on-year. The venue was helped by intervention from the Bank of Korea, at the same time as the yen intervention, which boosted volumes in KRW NDFs, 24X says it saw a record $7.1 billion traded in USD/KRW on 31 July, when it hit a new daily peak of $14.7 billion.

Cboe FX SEF reports NDF ADV of just over $4.28 billion, this is down 7.6% on June, but up an impressive 46.5% year-on-year. This is the fourth highest reported by the venue since launch. 360T, which operates a slightly different NDF model to the previous venues, reports ADV of just over $2.08 billion. This is down 2.4% from June, but up 14.15% year-on-year.