Mixed FX Volume Fortunes at CME Group
Posted by Colin Lambert. Last updated: June 3, 2022
The mixed results for FX platforms in May extended to CME Group, with the core futures and options franchise seeing growth in line with other platforms, but its EBS subsidiary lagging slightly.
CME’s FX futures and options turnover was 874,000 contracts per day, estimated by The Full FX to be a notional value of $85.5 billion. This is a 7.5% increase on April’s data and up 24.6% year-on-year.
Year-to-date CME is reporting some healthy data with Paul Houston, global head of FX at CME Group saying average open interest is up22.9% year-to-date compared to the same period in 2021. Compared to May 2021 there were healthy increases in EUR (+17.9%), JPY (+44.5%) and AUD (+20.1%) futures contracts, while FX options volumes generally were up 15%, with EUR seeing the same growth as futures, JPY rising 100.5+ and CAD options activity rising 23.7%.
According to the CME Group Volatility Index FX volatility expectations stabilised in May, with the combined G5 CVOL at the end of the month around 9.75 (down from 11.65 at the start of May and 12.5 at the start of the Ukraine conflict in March). Houston says, however, that implied volatility remains at elevated levels as global inflation concerns and expectations of central bank divergence remain. Looking at 2021, the G5 CVOL level ranged between 5.6 and 8.3 for the whole year.
The increasingly uncertain interest rate environment is also reflected in CME’s FX Link volumes being up 44% year-to-date, compared to the same period in 2021, however on a month-on-month basis ADV dropped slightly to $1.69 billion per day from $1.88 billion in April.
Meanwhile at EBS, ADV was $64.5 billion, down 2.7% from April, but up 3.3% year-on-year. Jeff Ward, global head of EBS, says that EUR/USD increased its share of overall volumes in May, while USD/JPY saw activity decline. CNH, meanwhile, continues to see “near-record levels” he says and NDF volumes “remained strong” in spite of several public holidays and were in line with year-to-date averages.
Perhaps the biggest event during May was the EBS Market migration to CME’s Globex infrastructure and the upgrade of EBS Direct and Ward says the firm is pleased with how both moves went and continues to focus on supporting clients during the transition.