Mixed News for CME Group in FX Volume Data

CME Group had a mixed result in terms of FX volume traded during December, with EBS seeing a decline, but the group’s FX futures and options product suite an increase.

CME says average daily volume (ADV) on EBS in spot FX was $52.6 billion, a 6.2% decline from November and down 4.2% year-on-year. The data is published on a 21-day basis, however as it did for other platforms, The Full FX is providing a more realistic estimate based upon 20-days, with 25 December taken out.

On this basis, EBS is estimated to have handled just over $55 billion per day in December, and while this represents a decline still on November, it is estimated to be by just 1.6%. The 2022 data from EBS previously published did include 25 December, therefore the year-on-year change stands.

It was a much more positive picture for the FX futures and options unit at CME, however, with the Merc handling an average of 1.149 million contracts per day. The Full FX estimates this to represent a notional ADV of $115 billion per day, just a fraction short of the 2023 peak of $115.1 billion, set at the end of the March quarter. While there is an inevitable 30% bounce from the non-roll month of November, this still represents a 10% increase year-on-year.

CME’s FX Link had notional ADV of $1.6 billion in December, down 10.1% from November, but up nicely by 17.7% on a year-on-year basis. On the same scale, volatility also continued to decline, with the G5 CVOL Index from CME averaging 7.6 in December, down some 24% from December 2022.