FX Volumes Steady in November
Posted by Colin Lambert. Last updated: December 2, 2022
The first group of platforms to report FX turnover for November indicate that conditions were largely unchanged from October, and again there is a hefty year-on-year increase.
360T bucked the trend a little by reporting a month-on-month increase in spot, with the venue reporting average daily volume (ADV) of $24.8 billion, up 4.2% on October and a modest 1.6% increase from November 2021.
Euronext FX reports spot ADV of $21.1 billion in November, down 1.9% from October and fractionally lower (0.5%) year-on-year, while Cboe FX ADV was $41.9 billion, also a 1.9% drop month-on-month, but up 18.7% year-on-year.
Firm liquidity ADV on Cboe FX was $12.84 billion, just over 1% lower than October and up 22% year-on-year, the average non-firm fill rate dipped slightly to 86% from 87% in October and November 2021, and the average non-firm median response time was unchanged at eight milliseconds. As has largely been the case since it started reporting the data, 93% of volume on Cboe FX was anonymous in November.
FXSpotStream, which reports data in all FX products, reports ADV of $67.3 billion in November. This is a 2.6% drop from October, but again is nicely up year-on-year, by 30.7%.
In NDFs, 360T reports ADV of $1.078 billion – this is a dip of 12.1% from October, but is up 69% year-on-year. Meanwhile, Cboe’s NDF SEF reports ADV of $907 million, up 2% from October and up 40% from November 2021.
Just before this data was released, LSEG’s Refinitiv finally reported October data. Spot ADV was down 10.7% at $100 billion, this is a 12.3% year-on-year increase.