CME, EBS FX Volumes Jump

Increased FX volatility saw both CME Group and its EBS subsidiary report a jump in volumes from February, although EBS was a fraction down year-on-year.

EBS average daily volume in spot was $74.8 billion, up 12% from February, a rise only matched by 360T of the platforms to report thus far. This is slightly below the $74.9 billion recorded in March 2021, but is comfortably higher than any other month going back to March 2020.

According to Jeff Ward, global head of EBS, EBS eFix Matching Services saw around a 300% increase in activity on 18 March, two days after the Federal Reserve raised US interest rates. He also observes that there has been a shift in where volume is being traded, revealing, “We have seen a shift in how volume is constructed with increased ADV in our G3 currencies, while CNH and other local market currencies have seen a decrease in volume.”

Ward also points to what is better news for EBS as markets get busier, in that Q1 2022 volume at $67.9 billion, far exceeds Q4 2021. While the latter does include the always quieter month of December, and in spite of the fact that EBS volumes are down compared to Q1 2021’s $72.6 billion, there is indeed a positive picture emerging for the platform with Q1 volumes strongly above the $61.4 billion average for 2021 as a whole. The increase, Ward says, is a result of the current macro-economic environment, “which has led to market participants holding cash and adjusting their hedging strategies compared to prior years where monetary policy remained static”.

Meanwhile, CME got its customary roll month boost, but was also up strongly year-on-year – it also had its busiest month since March 2020 and the onset of the pandemic. ADV in CME’s FX futures and options suite was 1.037 million contracts, which The Full FX estimates is notional value of $104.2 billion. This is a 20.5% increase from February and by a more comparable measure, the March 2021 roll month, it is also up 9.5% year-on-year. This marks the first time that CME FX has exceeded the $100 billion per day mark since March 2020 ($132.8 billion).

Paul Houston, global head of FX at CME Group, says that volumes in Blocks and EFRPs of CME listed FX contracts are up over 280% as of 31 March looking at volumes year-to-date 2022 versus same period 2021. He adds that at the March roll spreads were tight, he cites the March versus the June spread for EUR at the minimum price increment (0.2 pip) for 97% of regular trading hours.

Open Interest transference was up +3% above the historical average for the G5 pairs, with JPY: 83% rolled (11% above average) and EUR: 84% rolled (6% above average) as the standout performers, Houston says, adding that CFTC data on March 22 shows the number of large open positions in FX futures stood at 1,174: up +5.1% year-on-year and that 59.9% of open interest in EUR/USD was held by buyside customers.