FX Volumes Bounce Back in May
Posted by Colin Lambert. Last updated: June 1, 2023
After a generally subdued April, the first group of FX platforms to report volumes for May indicate that activity bounced back in both spot and NDF products, but was mixed year-on-year.
Euronext FX says average daily volume (ADV) was $21.5 billion, a 9.1% increase from April, but down 8.9% year-on-year. The percentage of firm volume on the platform dipped slightly from April, to 26% of all volume, last month, the first in which Euronext FX started publishing additional metrics it was 28%.
The last look fill rates were 84.7% on the skew safe stream, down from 85.4% in April, while it was 93.6% on the full amount platform, up from 92%, and 84.7% on the main platform, up from 84.3%. The average last look round trip time was 8.2ms from New York (up from 7.3% in April) and 7.1ms from London (8.2ms).
Elsewhere, Deutsche Börse’s 360T reports spot FX ADV of $25.8 billion, a 1.6% rise from April, but down 4.1% year-on-year. 360T has also started publishing additional metrics, the median round trip time was 6ms in May, in April it varied between 5 and 8ms, while 52% of volume was executed on the New York engine (down from 55% in April), while 31% was traded in London (30%), and Tokyo 17% (15%).
Cboe FX went against the trend for the second month in a row, after being one of the few venues to see a year-on-year rise in April. The platform says spot ADV was $40.8 billion in May, up 2.8% from April, but also up 3% year-on-year. Firm volume in May was $13.42 billion, down 1.5% from April, but up 13.9% year-on-year – this represents 32.9% of all volume.
The non-firm fill rate was 90% for a second successive month – the highest it has been since Cboe started publishing the data, while 93% of volume was anonymous, down from 94% in April. The average response time in May rose slightly to 10ms in May, from 9ms, it’s level thus far in 2023.
FXSpotStream, meanwhile, reports ADV across all FX products of $55.5 billion, a 0.4% increase from April, but down 5% year-on-year
Cboe FX reports NDF ADV of $951 million per day, up 5.4% from April and up 9.2% year-on-year. At 360T, NDF volume was $1.216 billion, a 17.5% rise from April and up 18.2% year-on-year.
