FX Volumes Steady in October: NDFs Rise
Posted by Colin Lambert. Last updated: November 14, 2021
The first three FX trading venues to report data indicate that while spot activity was broadly unchanged from September, October was a strong month for NDFs.
Cboe FX reports average daily volume in spot of $34.2 billion, a fraction lower than September’s $34.3 billion, but up 10.7% year-on-year. Firm liquidity on Cboe FX was $9.82 billion per day, down some 2.4% from September and down 19.5% year-on-year.
The percentage of volume transacted on firm liquidity fell to 28.7% from 29.4% in September, year-on-year the drop was much more dramatic, some 10.8% lower. This likely reflects the calmer nature of markets, liquidity consumers are more likely to accept last look liquidity in quieter markets where reject rates drop. This was reflected to a degree in the latest Cboe data on fill rates, this ticked up to 89.28% in October from 89.2% in September and is the second highest since the firm began reporting the data. In October 2020, the daily fill rate was 86.87%.
Deutsche Boerse’s 360T meanwhile, reports spot ADV of $22.2 billion, down from $22.6 billion in September, but up 6.4% year-on-year. Elsewhere, Euronext FX saw a decent uptick in activity in October to $19.3 billion – this is a 4.3% month-on-month increase and 3.6% higher than October 2020.
Both Cboe and 360T now report NDF ADV, and indicate that October was a strong month for the product set. Cboe FX handled a $902 million per day on its SEF (it does not yet report data from its non-SEF NDF platform Cboe Swiss), the highest yet on the platform and an impressive 58% increase from September. It is also almost six times what it handled in October 2020.
360T, meanwhile says NDF ADV was $628 million, up 10% from September, however it remains only the fourth highest month in terms of ADV this year. Year-on-year comparisons are not yet available as the platform started reporting data from January 2021.