EBS Hits New Low as CME Futures Gain
Posted by Colin Lambert. Last updated: March 5, 2024
Average daily volume (ADV) on EBS in February has hit its lowest level since the platform started reporting volume data at the start of 2008, and probably its lowest this century.
CME Group, which owns the venue, says spot FX ADV on the EBS spot venues was $45 billion per day, below the previous low of $47.6 billion in August 2021, and is only the third time since it started reporting that volume has dropped below $50 billion per day. This is 18.2% down from January as well as down 28% year-on-year.
CME’s FX futures and options suite had a better time of it, reporting an average of 854,000 contracts traded daily, which The Full FX estimates represents a notional value of $83.2 billion per day. This is down 1.3% from January – very much in line with the earlier platforms to report – but is up 0.8% from February 2023. CME’s FX Link had ADV of $2.05 billion in February, up 7.9% from January and up 68% year-on-year. The CME Group Volatility Index (CVOL) shows that FX volatility expectations in February continued to trend down from levels seen in 2023, with the combined G5 CVOL index averaging 6.5 in February, down 30% from February 2023 and down 20% from FY 2023.
The EBS data provides an insight into the likely importance of CNH on the platform. Although the Lunar New Year likely impacted trading volumes for all platforms during the month, it has long been a strong suit for EBS. That said, CME says that CNH futures activity was up a massive 81%, although this is likely to be from a lower base. If EBS bounces back in March, then February will probably be seen as a CNH-driven outlier.