CME, EBS FX Volumes Bounce

Volume data from CME Group shows that both the FX futures and options product suite and the OTC EBS platforms, saw a bounce in activity in November from the previous month, however on a year-on-year basis the picture was more mixed. The data comes against a background of CME’s busiest ever November ADV, driven mainly by activity in Rates products.

EBS reports average daily spot volume of $56.1 billion in November, a rise of 10.4% from October – the highest rise reported thus far by any spot platform. Year-on-year, however, volumes were down by 16.5%.

EBS says that the volume increase was accompanied by strong activity in NDFs and CNH, during the month, the platform achieved record volume for off-SEF Taiwan dollar NDFs at just under $3.8 billion traded on November 21. As was the case with other platforms to report results, EBS says that November was the busiest month of 2023 for NDFs.

Over at parent group CME meanwhile, FX futures and options saw 947,000 contracts traded per day in November, The Full FX estimates this to represent $88.3 billion in notional terms. This is a 3.8% increase from October and is also up year-on-year, by 2% – it was also CME’s busiest non-roll month since October 2022.

CME also saw strong growth in CNH, contract volumes were some 90% higher per day compared to November 2022, there were also good gains for MXN (+18%), BRL (+15%) and ZAR (+14%) in the emerging markets set.

FX Link ADV in notional terms was $1.78 billion, this is +12.7% from October and is up 19.5% year-on-year, however it is below the 2023 average of $2.2 billion per day.

The CME Group Volatility Index (CVOL) shows that FX volatility expectations in November continued to trend down from the historically elevated levels seen in the second half of 2022. The combined G5 CVOL index averaged 7 in November, down 41% from November 2022 and down 34% from FY 2022.