CME, EBS, FX Volumes Higher in June

Increased FX volatility helped drive stronger average daily volume (ADV) data at CME Group, with the exchange seeing a 24.9% year-on-year increase with its EBS subsidiary seeing 7% growth over the same period.

The Merc handled 1.159 million contracts per day across its futures and options suite, which The Full FXestimates to represent $115.6 billion in notional volume. This is up over 35% on May, which was expected given June is a roll month, however CME says it has also seen a 20% increase in open interest year-to-date compared to the same period in 2021. June 9 also saw another record for open interest across its FX products with 3.19 million contracts, a notional value of $295.8 billion, slightly above the $293 billion is reported in December 2021.

Perhaps the best news for CME in what was generally a positive report, is that FX Link volumes also jumped higher, thanks to a series of strong volume days. ADV on FX Link was $3.31 billion in June, easily the highest mark of the year, up almost double on May and over a third higher than the previous 2022 peak, and up 145% year-on-year. Included in this was a new record high of $7.2 billion on June 16.

According to the CME Group Volatility Index (CVOL), FX volatility expectations remain at elevated levels, with the combined G5 CVOL around 9.9 having been between 5.6 and 8.3 through 2021. The combined G5 index reached a peak of 12.78 on June 16 after the June FOMC meeting, its highest value since April 2020 at the start of the pandemic.

“As well as the expected increase in activity coming from central bank rates policy and resultant higher FX volatility, listed FX participation also continues to grow and be impacted by regulatory changes such as UMR phase six in September and the adoption of SA-CCR,” says Paul Houston, global head of FX at CME Group.

Meanwhile ADV at EBS was $65.4 billion, a 1.4% rise from May and up 7% year-on-year. The dramatic move higher by USD/JPY over the month helped drive the activity, while EUR/USD remained steady compared to May. According to Jeff Ward, global head of EBS, the EBS Market CLOB saw volumes increase 11% year-on-year, while G3 volumes generally were 15% higher over the same period. Asian NDF volumes were also up, by 16% year-on-year. EBS does not provide currency pair breakdowns.