FX Volumes Bounce Back in November

The first group of FX platforms to report November volume data indicate that the US election helped propel average daily volume beyond recent highs, with both 360T and Euronext FX hitting their second highest levels, beaten only by March 2020.

360T says spot ADV was $31.6 billion in November, a 10.5% increase from October, and fractionally above September, which was previously its second busiest month. This is up 16.7% year-on-year, and marks the fifth time 360T has been above $30 billion per day in the last six months.

The New York matching engine remains the primary venue for 360T with 55% of activity traded there (down from 57% in October), while London remained unchanged at 30% and Japan was slightly busier that October with the balance. The average round-trip time (RTT) was unchanged at 7ms, and, perhaps reflecting the trend lower in EUR/USD, this pair represented 29% of volume, the highest it has been since 360T started reporting the data in 2023.

Euronext FX spot ADV was $29.2 billion, also its second highest recorded, representing an 11.5% month-on-month increase and a 20.2% year-on-year rise. The average RTT was steady at 11.6ms for the New York engine and 19.6ms for London, while fill rates also stabilised after falling recently. The Skew Safe stream fill rate was 81.2%, up from 80.1% in October, while the Full Amount fill rate drifted to 93% from 93.4%, and the Platform fill rate was 74.6%, up from 74% in October. 24.3% of volume on the anonymous platform was anonymous, down from 25% in October.

FXSpotStream, meanwhile, saw overall volume bounce back above the $100 billion per day threshold, something it passed for the first time in September, reported ADV of $100.3 billion. This is up 7.8% from October and up an impressive 43.3% year-on-year. Within this, $72.3 billion was spot, up 8.2% from October and up 34.4% year-on-year, while non-spot volumes also grew, by 6.5% month-on-month and 72.8% year-on-year, to $28 billion.

CboeFX also saw activity rebound, with November spot ADV at $47.7 billion, an 11.5% rise from October and up 3.9% year-on-year. Activity on its firm streams rose to %16 billion from $14 billion per day in October, it was also up $1 billion per day year-on-year.

The average response time on CboeFX was 10ms, as it has been for four months now, while the non-firm fill rate rose to 88% from 87% where it has been the last two months, and the percentage of volume that was anonymous was unchanged at 93%.

NDF Volumes Turn to ECNs?

There is a suggestion in the latest data on NDF volumes, that participants may be turning to the ECN model as volatility threatens, with CboeFX SEF hitting a new peak and 24Exchange rebounding to its second highest level yet.

CboeFX SEF reports ADV of $1.86 billion, as noted a new peak for the venue, which is up 20% from October, but also up 36.3% year-on-year. This marks the second consecutive month that the Cboe FX SEF has hit a new peak.

24Exchange, meanwhile, reports NDF ADV of $3.73 billion, up 12.9% from October and up 42% year-on-year. This is the second highest ADV reported by the firm, which also received a license to run a 23/5 equity exchange last week, only beaten by August 2024, which it breached the $4 billion threshold.

In contrast, 360T NDF volume, which is largely relationship-based, declined slightly from October, to $1.73 billion per day. This is down 18.4% month-on-month, but is up a healthy 19.9% year-on-year.