CME FX Volume at Third Highest, EBS, SGX Mixed
Posted by Colin Lambert. Last updated: July 8, 2024
In keeping with data from other platforms, CME Group has released a very strong June FX volume report, hitting what The Full FX estimates is its third highest average daily volume in notional terms since September 2014 and is the third highest in contract terms
CME handled 1.382 million FX contracts across its futures and options product suite, which is estimated to represent $118.4 billion per day in notional terms. This is up significantly from the non-roll month of May, but more notably is 11.2% above average daily volume (ADV) in the last quarterly roll month of March. Year-on-year, CME FX futures and options volume was up 19.6%, reinforcing the strong June report.
On 12 June, CME set a new single-day record in FX futures at $314 billion as the market came to terms with multiple market events, it also saw single-day records in AUD, CHF, ZAR and CNH futures. The CME Group Volatility Index (CVOL) shows that the combined G5 CVOL index averaged 7.06 in June 2024, down 14% from full-year 2023
CME’s FX Link also established a new high-water mark at $5.25 billion per day in June. This also included a record day on 12 June, and is up 54.4% from May, and up an impressive 116.9% year-on-year.
The story was more mixed at EBS, CME’s spot OTC platform, with ADV bouncing from May, in line with its peers, but actually drifting lower year-on-year. EBS saw $57.6 billion per day in June, up 7.7% on May, but down 0.9% from June 2024. EBS eFix had a record month at $6.6 billion, this topped off what CME says is a record quarter for eFix – the group does not publish monthly data for the service – at $5.65 billion.
Elsewhere, Singapore Exchange (SGX) also saw mixed fortunes, FX volumes drifting lower from May, but up strongly year-on-year. ADV in FX contracts was 4.480 million in June, a 5.5% decline from May, but up 35.3% year-on-year. Both of SGX’ busiest contracts saw a decline from May, CNH to 2.44 million from 2.62 million, and INR from 1.74 million to 1.7 million. Both were up year-on-year, however, by 19% and 52% respectively. Both also achieved single-day open interest (OI) records of 219,005 lots on 13 June and 297,086 lots on 25 June, respectively. SGX says its KRW/USD FX futures also set new OI records for both mini and full-sized contracts during the month.
