FX Volumes Tick Up in September: Down YoY

The first group of platforms to report FX volume data indicate that activity was higher in September than August, however the year-on-year data shows significant declines from what was a very busy month in September 2022.

Deutsche Börse’s 360T was the outlier, actually recording an increase in spot average daily volume (ADV) to on both month-on-month terms (+13.2%) and year-on-year (+6.2%). At $29.1 billion per day, ADV was the second highest in history for 360T, only beaten by March 2020 when the onset of the pandemic saw activity spike sharply.

The average round-trip time was 6.3ms, up from 3ms in August and the highest since 360T started publishing the data in May, and 53% of volume was executed on the New York matching engine, (down from 50% in August), with 35% in London (34%) EUR/USD was responsible for 28% of volume, up from 27% in August, while USD/JPY was the second biggest pair at 12%, unchanged from August, followed by Cable (unchanged at 9%) and USD/CNH (8% from 9%)

Elsewhere, FXSpotStream reports September ADV of $66 billion, up 8.6% from August, but down 10.1% year-on-year. Within these, spot ADV was $52.2 billion – an 8.8% month-on-month rise, but down 11.8% year-on-year.

Euronext FX reports spot FX ADV of $23.95 billion, up 6.4% from August and only a 1% drop from September 2023. This also represents the highest ADV for the platform this year. A lot of the growth was in disclosed trading on Euronext FX, with the percentage of anonymous volume on its firm stream dropping to 25.8%, the second lowest since it started reporting the data in April 2023, and down from 28.7% in August.

The average round-trip time in September was 8.2ms for the London matching engine and 10.8ms for New York. In August these were 7.9ms and 7.8ms respectively. The Skew Safe fill rate was 82.5%, the lowest since the data was first published and down from 85.7% in August; while the fill rate on the Full Amount stream was 92.9%, down from 93.6% the previous month. The platform fill rate was 83.7%, down from 84.2% in August – this is also the lowest since the platform started publishing the data.

Finally, Cboe FX reports ADV of $45.3 billion, the second highest this year, a 10.2% increase from August and down just 1.1% year-on-year. Firm volume ADV was $16 billion, the highest since the platform started reporting the data at the beginning of 2020, this represents 35.3% of all volume, and is only beaten by October 2020 when over 39% of activity was firm.

The average response time on Cboe FX was unchanged at 10ms, 90% of volume was anonymous (down from 91% in August) and the average non-firm fill rate was also 90%, unchanged month-on-month. The firm also says it hit September monthly ADV records in pegs and mid-match order with pegs hitting $9.4billion per day, with mid-match of peg orders hitting $4.2 billion per day. It adds it also had record days in September for the order types, pegs at $13.3 billion and mid-match of peg orders at $5.7 billion.

NDF Data Mixed

It was a more mixed month for the three NDF platforms to report data, with two seeing a decline in activity and one an increase. Cboe FX reports NDF ADV on its SEF of $1.082 billion, a 0.6% increase from August and up 9.3% year-on-year. This is the second highest turnover reported by the SEF and represents the first time since it started reporting data that Cboe FX has had three successive months above the $1 billion per day threshold.

Elsewhere it was a different story, 360T reports NDF ADV of $1.14 billion, down 18% from August and down 22.6% year-on-year, while 24 Exchange also saw its first decline for some time, handling $1.815 billion per day. This is a 6.9% decline from August, but is more than double turnover in September 2022, which saw $872 million per day traded.