What Happened at the Month-End Fix?
Posted by Colin Lambert. Last updated: September 9, 2025
Market impact rose from recent months at the London 4pm August month-end Fix, with savings from using the longer 20-minute window calculation compared to the five-minute window more than doubling from July, with some major currency pairs offering the highest potential savings.
At $477 per million, the average saving from using the 20-minute Siren FX methodology compared to the five-minute WM is above the year-to-date average of $425 per million, but perhaps more worrying given the size of the markets, is that three of the major currency pairs, EUR/USD, Cable and USD/CHF – respectively the busiest, third and fourth busiest FX markets globally – exhibited the highest savings among the portfolio of nine currency pairs. The $675 per million saving in EUR/USD is the second highest this year (beaten only by May’s $732 per million) and the third highest since December 2023.
Although there have been some quieter months in 2025, the potential savings from the longer window remain significant, and are indeed above those averaged throughout 2024. Only USD/JPY and USD/CHF are averaging lower potential savings thus far in 2025, by some $80 per million in the former (the 2025 average is $409.88 per million); and by just $13 per million in the latter ($381.75 per million).
Even the quietest currency pair in terms of market impact in August, NZD/USD, offered savings of $186 per million, this is however, the lowest for the pair since September 2024.
To provide more context, the table below also presents projected dollars per million savings across a portfolio of different pairs using a correlation with the Fix calculation, depending upon how much flow was in the direction of the market, or “with the wind”. The rates used for the WM column are calculated using Siren’s proxy five-minute window, which utilises data from New Change FX, however The Full FX endeavours to check that they are a reasonable reflection of those published by the WM.
| August 29 |
| CCY Pair | WMR 4pm Fix* | Siren Fix | 100%** | 80% | 70% | 60% |
| EUR/USD | 1.17042 | 1.16963 | $675 | $405 | $270 | $135 |
| USD/JPY | 146.823 | 146.871 | $327 | $196 | $131 | $65 |
| GBP/USD | 1.35099 | 1.34988 | $822 | $493 | $329 | $164 |
| AUD/USD | 0.65447 | 0.65429 | $275 | $165 | $110 | $655 |
| USD/CAD | 1.37295 | 1.37341 | $335 | $201 | $134 | $67 |
| NZD/USD | 0.59007 | 0.58996 | $186 | $112 | $75 | $37 |
| USD/CHF | 0.7990 | 0.79948 | $600 | $360 | $240 | $120 |
| USD/NOK | 10.0482 | 10.05339 | $516 | $310 | $206 | $103 |
| USD/SEK | 9.46606 | 9.47128 | $551 | $331 | $220 | $110 |
| Average | $477 | $286 | $191 | $95 |
*According to Siren FX calculation using New Change FX data
** Savings are in dollars per million by percentage of correlation to the Fix flow. Blue cells signify a projected saving using Siren, Red cells a saving using WMR
Cable offered the highest savings since November 2023 at a massive $822 per million, although there may have been a few doubts in the minds of speculators who key on the early hedging activities every month-end, as a spurt of buying at the start of what is often the pre-hedging window, was reversed some five minutes out from the start of the WM calculation.
Source: Siren FX
The buying resumed, however, in a classic pre-hedging (or hedging ahead of the Fix) move, which saw Cable rise some 20-25 pips in the five minutes leading into WM, and then another 10 pips in the early stages of the window. Perhaps driven by speculators taking profit early, there was some bouncy – but relatively quiet – two-way price action before the market rose again into the close of the WM window, five minutes after that time, Cable was trading close to where it entered.
Every month, The Full FX is selecting an emerging market currency pair at random, and before the data is available, to broaden the analysis – this month the selected pair is USD/RON. Data is again provided by Siren FX according to the same guidelines in place for the regularly reported currency pairs.
What looks like obvious pre-hedging also took place in USD/RON, with dollar selling commencing around five minutes out from the WM calculation sending the pair down some 50 pips. The down move continued, however, during the WM calculation – suggesting that the amount of dollars to be sold for clients exceeded market capacity. While this is a regular feature of the WM Fix, it was particularly pronounced in August, with USD/RON exiting the WM window at the lows, before almost immediately recovering back to where it entered.
Source: Siren FX
At a potential saving of $793 per million, the execution cost was significant, but largely in line with the 2024 average, but some $40 per million below the 2025 average. That said, the move looks to be “genuine” in that speculators were probably less involved – if at all.
