CME, EBS Volumes Mixed in June: SGX Sees CNH Record

While June’s average daily FX volumes at CME Group and EBS rose strongly from May, both were lower on a year-on-year basis – this largely reflected the experience at other venues, with exception of Cboe FX which was up on both time horizons.

CME’s FX futures and options traded an estimated $110 billion per day in notional terms in June. As a quarterly roll month, volumes are traditionally higher in June, and this was the case this year with activity up 36.3% from May. Year-on-year, however, a better comparison for CME’s futures, activity was down 4.8%.

June marked a monthly record in Block volume for CME, with a total of 465,452 contracts traded (22,164 in Block ADV). This is +61% year-on-year and surpasses the previous monthly block volume record set in March 2023.

The Merc says June’s quarterly roll saw open interest transference surpassing historical averages. It was 6% greater than historical averages in the G5 pairs, with 71-88% of positions being rolled across major currencies.

The story was also mixed for CME’s FX Link, which also saw a healthy increase in activity in June from May, averaging $2.42 billion per day, up 33% month-on-month, but this was -26.9% year-on-year.

The CME Group Volatility Index (CVOL) shows that FX volatility expectations in June continued to trend down from the historically elevated levels seen in the second half of 2022. The combined G5 CVOL index averaged 7.1 in June (-33% YoY) and reached a low of 6.7 on June 14th, the lowest level since January 2022.

EBS, meanwhile, says spot FX ADV cross its platforms was $58.1 billion, an 8.8% increase from May, but down 11.2% year-on-year. Interestingly, EBS says its benchmark fixing service, eFix, hit its fifth highest month and its third highest day on June 16. This suggests that more users of the Fix were trading ahead of the actual month-end, thus avoiding the worst excesses of market impact. As noted by The Full FX in its monthly analysis, the month-end Fix was one of the quieter events over the past two years.

EBS also says EBS Direct Forwards continued to grow in June, with a 40% year-on-year rise, however the firm does not disclose actual volume numbers.

Both EBS and CME saw healthy growth in CNH trading, the former by 15% month-on-month, the latter +38% year-on-year, and this was also a feature of activity at Singapore Exchange, where CNH open interest hit a new high of $14.1 billion on June 13. SGX has yet to release final volume data, but says almost $10 billion traded in CNH futures in June – a new high.