CME Group Follows FX Volume Pattern

As was the case with the first group of platforms to report FX volumes, CME Group also saw a dip in August compared to July, but was up strongly year-on-year.

EBS reports average daily volume (ADV) of $58.8 billion, the first time it has dipped below the $60 billion mark this year, although the 8.9% drop from July is largely in line with other platforms to report. Year-on-year, as was the case elsewhere, ADV is up 23.5%.

Jeff Ward, global head of EBS, says that the firm’s CLOB, EBS Market, slightly outperformed in August, rising 25% year-on-year, a reflection of the increased volatility being seen in FX markets. This was reinforced with G3 volumes being up 45% year-on-year on EBS Market, with USD/JPY leading the way, rising 71% year-on-year as yen weakness persisted.

Elsewhere, EBS also reports Asian NDF activity increased 9% year-on-year and CNH volumes were up 15%. Additionally, although the firm does not provide an actual number, it says EBS Direct Forwards hit a new peak in August and were up by 65% year-on-year – driven the firm says, by client acquisition as well as increased interest rate volatility.

Meanwhile, CME’s FX futures and options suite had average daily volume of 866,000 contracts, which The Full FX estimates to represent a notional value of $80.5 billion per day. This represents an 11.5%v drop from July, but is up 38.8% on August 2021, with a lot of the growth in futures coming from the G3 currencies, with EUR volume +65%, JPY +79% and GBP +46%. The same three currencies, in options were up 4%, 17% and 38% respectively.

CME’s FX Link volumes also dropped from July, by just under 40% to $1.62 billion notion per day, however year-on-year, reflecting the changing nature of the FX swaps market in particular, activity was up 90%.

The good news for the industry at large, including CME Group, is that FX volatility expectations remain at elevated levels. According to the group’s Volatility Index (CVOL), the combined G5 CVOL hit 11.4 in the second half of August, from around 9% earlier in the month. Again though, this is lower than the levels seen in July (13.4), but significantly up year-on-year, the Index having ranged between 5.6 and 8.3 throughout 2021.