FX Volumes Solid in December

The first group of platforms to report FX volumes saw 360T and Cboe FX close out the year with a strong December, while Euronext FX was steady.

360T reports spot average daily volume (ADV) in December of $32.2 billion, down 5% from November but up 9.5% year-on-year. The platform was open for trading on December 25 – a very quiet day – and by taking that out of the data, ADV was $32.85 billion, which is down 3.1% from November and up 11.7% year-on-year.

360T saw a surge in the percentage of volume traded in Indian rupee, making up 8% of volume according to the platform, double what it was in November. INR was just behind USD/JPY at 9% (down 2% from November) and Cable at 10%. EUR/USD remains the busiest market at 24% of volume, with USD/CNH at 6% – both these and Cable were down 1% from November. The average round-trip time (RTT) was a tick higher at 8.2ms, and there was a surge in activity on the London matching engine at 38% (from 32% in November), with New York handling 51% (from 55%) and Tokyo 10% (13%).

Meanwhile, Cboe FX reports ADV of $48.55 billion, down 2.1% from November, but up an impressive 18.4% year-on-year. Firm ADV was $19.2 billion, up 3.2% and 28% respectively, while 95% of volume was traded anonymously. $35.1 billion was traded on the ECN and $13.4 billion on the full amount streams, the non-firm fill rate was unchanged at 92%, as was the average response time at 8ms.

Elsewhere, Euronext FX reports ADV of $23.6 billion, down from $23.7 billion in November, but down 1.7% year-on-year. Platform performance was broadly steady, with the average RTT to New York at 11.7ms and to London at 17.6ms, these were 11.6ms and 16.3ms in November. Fill rates were mixed at Euronext FX, with the Skew Safe stream filling at 80.4% (up from 79.8% in November) and the Full Amount at 94.9% (94.1%), however the platform fill rate dropped to 73.5% from 73.8% in November.

NDF volumes were mixed from November but up strongly at 360T, 24 Exchange, and Cboe FX SEF on a year-on-year basis. 360T reports ADV of $2.26 billion in December, up 8.7% on November and up 10.1% year-on-year. At Cboe meanwhile, NDF volumes on the SEF were $2.98 billion, down 15.3% from November (which is the record high for the venue), but up an impressive 39.1% year-on-year. 24 Exchange, meanwhile, reports NDF ADV of $4.9 billion, unchanged from November, but up a massive 63.7% year-on-year.