FX Volatility Pushes CME to New High, EBS Strongest Since 2020

The sustained volatility in markets has helped push CME Group to a new record average daily volume (ADV) in contracts across its FX suite of products.

The Merc reports ADV of 1.463 million contracts, a new high for its FX futures and options, which The Full FX estimates to represent around $133 billion in notional volume, slightly above the previous March 2020 peak in contract terms. This represents a 50% increase on September 2021 and is a leap from the non-roll month of August.

In notional terms, The Full FX estimates this is the second highest month ever for CME after May 2010’s $161 billion, when the product mix was different, namely mini and micro mini contracts were not established. CME has previously reported that over three million contracts were traded on September 14 for a notional value of $272 billion.

CME says the quarterly roll saw record open interest transference, some 11% greater than historical averages, with 81-90% of positions being rolled across major currencies. Volumes in Blocks and EFRPs of CME Group FX contracts were up 86% year-to-date 2022 versus same period 2021.

FX Link activity also rose strongly to a new record, recording a notional ADV of $4.13 billion, almost double what it was in September 2021 and up two-and-a-half times on August’s 1.62 billion.

As noted, sustained volatility is behind the surge in activity, this is evidenced by the CME Group Volatility Index remaining at elevated levels, with the combined G5 CVOL averaging 12.4 in September, twice what it was in September 2021 and the highest since March 2020.

EBS, which is owned by CME, also received a big boost to activity, helped, no doubt, by the Bank of Japan’s intervention late in the month to push the yen higher. ADV across EBS spot venues was $76.3 billion, the highest since March 2020’s $131 billion. This represents a 29.8% increase from August and is up 31.1% year-on-year – the latter largely in line with the data reported earlier this week by other venues.

EBS says within this data, G3 volumes on the EBS Market CLOB were up 49% from the previous September and 34% versus August, with September 22 – the day of the BoJ intervention, providing the largest day on the CLOB in USD/JPY since November 2016.

EBS adds that nearly five times the average daily volume for USD/JPY for 2022 was transacted including $18.5 billion (single count) in the single hour between 8am and 9am GMT. This suggests that the vast majority of the BoJ intervention, which was around $20 billion, made it to the primary market.

Elsewhere on EBS, CNH ADV was up 22% from September 2021, and NDF volumes were 41% higher year-on-year. FX swaps and forwards on EBS Direct also set a new monthly record, up 55% year-on-year, and e-Fix was up 8%, the fifth largest month since launch, however the firm does not provide actual volume data for any of the above. It does say that at the September month end, e-Fix had its fifth best day at $18.5 billion.

Elsewhere, Integral has also reported volume data, the company saying its venues handled $51.2 billion in September. This is a month-on-month gain of 10.6% and year-on-year of 14%, both slightly below the averages seen on other venues.