FXSpotStream Hits New Peak as FX Volumes Rebound

September was a banner month for the first group of FX venues to report volume data, headlined by FXSpotStream hitting a new peak for both spot and non-spot activity.

The service reports average daily volume (ADV) of $179.1 billion, up 16% from August and up an impressive 42.9% year-on-year. The beats the previous peak of $173.6 billion, set in march of this year. Within this, spot ADV hit a new peak of $129.5 billion, up 20.1% from August and up 57.5% year-on-year – March was the previous high at $127.9 billion – while non-spot ADV was at a new high of $49.6 billion, up 6.4% from August and up 15.1% year-on-year. The previous non-spot high for FXSS was June at $46.8 billion.

It was also a strong month for 360T, with spot ADV soaring 12.5% from August and 21.2% year-on-year to $42.3 billion – the third highest in the platform’s history. There was a dramatic change in where business was allocated within 360T with the firm saying that 67% of volume was traded on the New York matching engine, compared to 26% in London and 7% in Tokyo. In the eight months to September, New York handled an average of just over 50% of volume, with London at 36.5%.

The share of volume in USD/JPY on 360T jumped in September – no doubt helped by rate moves and price checking by the Bank of Japan – it was 13% of activity, up from 10% in August. EUR/USD dropped a point to 26%, as did Cable to 8% and CNH to 7%. The average round-trip time (RTT) on 360T was 8.2ms, slightly down from August.

Elsewhere, Cboe FX reports spot ADV of $61.6 billion – the fourth highest in the platform’s history. This is up 18.9% from August and up 25.5% year-on-year, with $24.3 being traded on firm liquidity daily – up 16.8% and 35% respectively. The firm says 99.9% of firm volume was traded anonymously.

Full amount trading averaged $16.2 billion on Cboe FX, up from $14.2 billion in August, while 94.6% of volume was traded anonymously, up from 94.5%. The non-firm fill rate was one point lower at 92%, while the average response time was steady at 7ms.

Euronext FX was another that had a strong month, reporting its fifth highest ADV to date at $34.5 billion. This is up 21.5% on August and up an impressive 48.7% year-on-year. Euronext FX also saw slightly higher fill rates to go with the rebound in volumes, on Skew Safe it was 86.9% (from 85% in August), on the Full Amount streams it was 94.7% (94.5%), and on the platform it was 75.9% (75.8%). Average RTTs fell to both New York (6.7ms from 8.1 ms in August) and London (9.1ms from 9.2ms) and the percentage of firm volume traded anonymously was 25%.

NDFs Also Up

Meanwhile, NDF volumes also rebounded nicely from August with 360T setting a new peak, just beating its previous high set in March of this year. ADV in NDFs was $2.4 billion at 360T, up 24.4% from August and up 16.2% year-on-year.

There was a similar story at Cboe Fx SEF, where ADV in NDF rebounded 19.8% from August to $4.66 billion – this is up 39.3% year-on-year and is the third highest ADV reported by the venue.

Finally, 24 Exchange was another to rebound nicely, reporting its fourth highest SDV to date in NDFs at $8.3 billion per day. This is up 12.3% from August and 107.8% year-on-year.