CME Group FX Numbers Dip
Posted by Colin Lambert. Last updated: November 5, 2023
CME Group has contributed to something of a confused picture as far as FX volumes on the major platforms are concerned, with some venues reporting year-on-year increases and others declines (LSEG FX, for some reason, has yet to report September data), the Merc’s FX futures and options suite and EBS OTC platform both saw declines.
CME says that reduced volatility led to EBS reporting average daily volumes (ADV) of $50.8 billion, the third lowest since the platform started reporting data and the lowest since December 2021. This represents a 4.9% decline from September and a 24.2% fall on a year-on-year basis.
What may be a concern to CME, which recently announced a management overhaul of its FX business, is that other platforms have spent the last two month near or at historical highs, while EBS remains mired at its historical lows. Reinforcing that concern is the fact that for the first 10 months of the year, EBS ADV is 8.5% down on 2021 – the year it saw its two quietest months since it started reporting data in 2007 – it is also down 14.3% on the same period in 2022.
CME’s FX and futures volume was also lower on both bases, although with September being a roll month this was largely expected. With 935,000 contracts traded per day, which The Full FX estimates to be worth $85.1 billion per day in notional terms, October is actually the busiest non-quarterly roll month in 2023.
This represents, however, an 8.8% annual decline from October 2022 and the first 10 months of the year are some 5% lower in contract terms, than the same period in 2022.
CME’s FX Link also had a quieter month, hitting $1.58 billion per day in notional terms, the third lowest of the year after January and February and 46.1% lower that September and down 48.7% on October 2022 – the third highest month for the service.
Highlighting the lower volatility, the CME Group Volatility Index (CVOL) shows that FX volatility expectations in October continued to trend down from the historically elevated levels seen in the second half of 2022. The combined G5 CVOL index averaged 8.1 in October, down 41% from October 2022 and down 23% from FY 2022.