CME FX Futures Follows Pattern: EBS Underperforms Early Reporters
Posted by Colin Lambert. Last updated: October 5, 2023
FX volumes on CME Group’s EBS and the exchange’s futures and options suite followed the pattern elsewhere of a month-on-month increase, but a year-on-year decline.
EBS reports average daily volume (ADV) of $53.4 billion in September, a 2.3% increase on August, which is below the average for the earlier group of platforms to report. As was the case elsewhere, however, year-on-year volume is down sharply, by 30% – again this is a worse performance than the platform’s peers that reported earlier. EBS says within this, CNH volumes remained strong, rising 5% year-on-year.
CME’s FX futures and options, meanwhile, saw the traditional bounce into a roll month, the Merc reporting ADV of just over 1.2 million contracts per day, which The Full FX estimates to represent around $109.3 billion in notional terms. The roll month bounce means this is a 53% increase on August, but again reflecting the busy nature of September 2022, is down 17.8% year-on-year.
CME says BRL (+25%), AUD and MXN (+6%) FX futures performed particularly well on a year-on-year basis, while quarterly roll volumes across G5 currencies were +16% compared to the prior four quarterly roll periods. The exchange adds that top-of-book depth during the two-week roll period was 59,000 contracts across the G5 pairs, up by 139% on the prior four quarters.
An indication of the lower levels of activity in the market can be found in the latest CME Group Volatility Index (CVOL) reading. CVOL averaged 7.6 in September, down 40% from the same month in 2022.