CME Group FX Volume Falls in July

Although year-to-date FX volumes across its FX futures and options product suite is largely flat compared to 2022, July saw a month-on-month and year-on-year decline at CME Group, putting its result slightly out of line with the first group of platforms to report earlier this week.

CME says it traded a daily average of 881,000 contracts during July, which The Full FX estimates to represent a notional value of $83.6 billion per day. This is an unexpectedly steep decline from June, which is a roll month, but is also down 8.1% compared to July 2022. Conversely, July was the busiest non-roll month for CME this year.

Paul Houston, global head of FX at CME says that despite the year-on-year decline the Merc saw significant increases in activity in JPY (+32%) and CNH (+55%) in futures and a 166% increase in CHF options contracts (along with a 22% increase in AUD options).

It was a good month for CME’s FX Link, which recorded its highest ADV since October 2022 at a notional $2.88 billion per day in July. This is 19% up on June and also up 7% year-on-year.

Elsewhere, EBS, which is owned by CME, reported spot FX ADV of $57.7 billion in July, fractionally down on June’s $58.1 billion, thus very much in line with the platforms to report earlier this week, however unlike the other venues that saw a year-on-year increase, EBS’ ADV was 10.5% lower than July 2022. EBS says CNH remained a strong performer during the month.

The flat volumes everywhere on a month-on-month basis comes in spite of a decline in volatility. The CME Group Volatility Index (CVOL) shows that FX volatility expectations continue to trend down from the historically elevated levels seen in the second half of 2022. The combined G5 CVOL index averaged 7.7 in July, down 36% from July 2022 and down 27% from FY 2022 levels.