CME, EBS FX Volumes Follow the Trend
Posted by Colin Lambert. Last updated: March 7, 2023
As was seen elsewhere by the first group of platforms to report data, FX volumes on CME Group’s FX futures and options suite, as well as on its OTC EBS platform, rose from January, but were down year-on-year.
Average daily volume (ADV) on EBS rose fractionally in February to $62.5 billion, from $62.4 billion in January, but were 6.4% lower than in February 2022. Within this, EBS Market volumes were down 7.5% year-on-year – the CLOB saw a rise in activity in February 2022 after Russia invaded Ukraine, while EBS Direct spot volumes were 3% lower. EBS Direct continues to see increased volumes on metals and forwards, the latter setting what the firm says is another record in February, however in neither case does EBS actually reveal what the ADV was.
EBS saw CNH volumes markedly higher, by 30% year-on-year and 14% month-on-month, however it observes this was due in part to the Lunar New Year falling in January in 2023, compared to February in 2022. NDF volumes also saw a boost thanks to that, rising 15% year-on-year and 7% month-on-month, however again no hard data is provided.
CME Group, meanwhile, handled 847,000 contracts per day in both FX futures and options in February, down 3.3% from February 2022, but up 5% from January. The Full FX estimates this to represent a notional value of around $82.5 billion per day in February.
CME says volumes in Blocks of FX options contracts were up over 50% year-on-year, adding there was good growth in futures contracts in JPY (+24% y-o-y) and CNH (+149%), while CAD and NZD both saw a 2% increase over that period.
The CME Volatility index (CVOL) indicates that FX volatility expectations remain slightly elevated relative to long-term historical averages but have come down from the levels seen in the second half of 2022. The combined G5 CVOL averaged ~9 in February; +18% versus the volatility in February 2022.