CME Group FX Volume Drifts from June, Up on 2021
Posted by Colin Lambert. Last updated: August 3, 2022
As was largely the case with the first group of platforms to report FX average daily volume for July, CME Group saw a drift lower in activity, but was up strongly year-on-year.
The exchange group’s FX futures and options suite saw 959,000 contracts per day traded, which The Full FX calculates to represent a notional value of $91 billion. This is down from June’s roll month, but is a 30% increase from July 2021.
Average open interest in CME listed FX products was up 18% year-to-date versus same period 2021 and in July alone, the Merc says average open interest was up 6% versus July 2021. Volumes in Blocks and EFRPs of FX futures and options contracts were up 106% year-to-date 2022 versus same period 2021.
Although it too saw a drift lower from June’s record high, CME FX Link volumes are up 46% year-on-year and up 75% year-to-date versus the same period in 2021. Average daily notional volume on FX Link was $2.69 billion, down from $3.3 billion in June.
FX volatility expectations remain at elevated levels according to CME’s Volatility Index (CVOL), with the combined G5 CVOL around 11.04 having been between 5.6 and 8.3 through 2021. The combined G5 index reached a peak of 13.4 on July 14 as EUR/USD traded near and through parity, its highest value since April 2020 at the start of the pandemic.
CME’s OTC platform EBS also largely reflected the experience elsewhere, with ADV of $64.5 billion, this is a 1.4% decline from June but is up 12.4% year-on-year.