Mixed News in Early FX Volume Reports
Posted by Colin Lambert. Last updated: December 5, 2023
The first group of platforms to report FX volume data provide a mixed picture on a month-on-month basis in November, however all are up year-or-year – in the NDF world, two platforms have reported new average daily volume (ADV) peaks.
FXSpotStream reports ADV in all products of $70 billion per day, the platform’s busiest month in ADV terms since September 2022 and its third highest since formation. This represents a 3.3% increase from October and is up 4% from November 2022. Spot ADV at FXSpotStream was $53.8 billion per day, up 2% on October, but slightly down year-on-year, by just 0.4%.
Euronext FX reports spot FX ADV of $24.3 billion, also the highest this year and the highest since April 2022 for the platform. This represents a 5.2% rise from October and is up an impressive 15.2% year-on-year. In terms of its performance statistics, round-trip times (RTT) were slightly lower than in October but still above the average since the platform started reporting the data in April at 10.2ms for the New York engine and 10.5ms for London.
The percentage of firm volume executed on the anonymous platform on Euronext FX was 23.6%, while the fill rate for the Skew Safe stream was 81.5% (82.2% in October); for Full Amount it was 94.4% (92.8%) and for the platform it was 82.6% (82.4%) – all are broadly in line with the average since April.
The picture was slightly different at 360T and CboeFX, both of whom saw a small decline month-on-month. 360T says spot ADV was $27.1 billion in November, down 5.2% from October, but up 9.3% year-on-year. The average RTT for the month was 6.5ms – the highest it has been in the seven months the platform has been reporting, but broadly in line with the previous three months – while the New York engine continues to attract the most volume at 58% (57% in October), compared to London at 30% (31%) and Tokyo unchanged at 12%.
Cboe FX, meanwhile, reports spot FX ADV of $45.9 billion, down 1.8% from October, which was the second busiest month of the year, and up 9.6% year-on-year. Firm volume was unchanged at $15 billion per day – September is the peak for that category at $16 billion – while the average response time was 9ms, broadly in line with the average. The percentage of anonymous volume was unchanged at 89%, slightly below levels seen earlier in the year, while the non-firm fill rate was very much in line with longer-term averages at 90%.
NDF Records
Meanwhile, both Cboe FX SEF and 24 Exchange have reported new ADV records for their NDF product suite, while 360T hit its third busiest.
24 Exchange says NDF ADV was $2.63 billion, beating the previous peak in July 2023 of $2.25 billion. On a month-on-month basis this is a 27.2% increase, in year-on-year terms it is more than two-and-a-half times higher.
Cboe FX SEF’s new peak was $1.37 billion per day in November, beating its previous high, set the previous month by 15.4%. Year-on-year ADV is up 50.5%.
Finally, 360T’s ADV in NDFs was $1.44 billion, up 0.6% from October and up 33.9% year-on-year.