Spot FX Volumes Rise in June
Posted by Colin Lambert. Last updated: August 2, 2023
The first group of platforms to report volume data indicates that spot FX volumes were strong in June, with Euronext FX hitting its highest level for average daily volume (ADV) since September 2022.
The platform reports ADV of $23.4 billion, an 8.9% increase from May and up 0.9% year-on-year. Busier markets brought a lower percentage of firm volume, Euronext FX says 23% of ADV was firm, down from 26% in May and 28% in April, when the platform first started publishing such data.
There was a divergence in round trip times (RTT) on the Euronext FX platform as well, with the average last look RTT to the New York matching engine slightly higher at 8.3ms (it was 8.2ms in May and 7.3ms in April), but that to the London engine much lower at 6.7ms (7.1ms and 8.3ms). Last look fill rates were 86.2% on the skew safe streams, up from 84.7% in May (85.4% in April); 93.5% on the full amount streams (93.6%, 92%); and 85.1% on the platform (84.7%, 84.3%).
Meanwhile, Deutsche Börse’s 360T says spot FX ADV was $26.9 billion in June, up 4.3% month-on-month, but down 4.9% year-on-year. The median RTT on the platform was just above 5ms, it varied between 5 and 7ms throughout the month, while 54% of spot volume was executed in New York, 29% in London and 17% in Tokyo. In May New York saw 52% of activity and London 31%.
Cboe FX, like 360T, had its second strongest month of the year-to-date, reporting spot ADV of $43.9 billion – a 7.6% increase from May and up 10.6% year-on-year. Firm volume on the platform was $13.82 billion – also the second highest year-to-date and up 3% month-on-month and up 18.6% year-on-year.
The average non-firm response time was 8ms, 92% of spot volume was executed anonymously, down from 93% in May, and the non-firm fill rate was 89%, down from 90% the previous month.
Finally, FXSpotStream, which reports volume across all FX products, not just spot, says ADV was $63 billion in June, the second highest this year. Volume is up 13.5% from May, but is down slightly, by 1.3%, year-on-year.
