Yen Intervention Sends EBS to Recent Volume High

A round of intervention in USD/JPY by the Bank of Japan towards the end of the month, propelled EBS to its highest volume in more than a year in April.

EBS says average daily volume (ASV) was $61.2 billion, an 11.5% increase from March and up 15.7% year-on-year – it is also the highest since March 2023. The Full FX has already reported that on 29 April – the date of the intervention, EBS traded $77 billion in yen alone, the highest in since November 2016 – additionally it also traded $15.7 billion in USD/CNH on 16 April. On the same day in NDFs, which are not included in the EBS volume data, EBS handled nearly $11 billion in Asian one-month contracts.

The positive data from EBS meant that across its platforms, CME Group handled over $145 billion in FX cash, futures and options products. CME’s FX futures and options contracts saw 988,000 traded per day in April, which represents around $81 billion in notional value. This is down from the roll month in March, but more pertinently, it is up 9.2% year-on-year.

CME says April was a record volume month for BRL, in which $466 million was traded each day, while there were healthy year-on-year increases in AUD (+48%), and MXN (+86%).

CME’s FX Link had its second busiest month, behind September 2022, with just over $3.82 billion traded every day. This is up 50.4% from March and is up 68.3% year-on-year. CME says FX Link had a new single-day contract record in USD/JPY on 29 April of 28,627 contracts.

The CME Group Volatility Index (CVOL) shows that the combined G5 CVOL index averaged 7.1 in Apr 2024, down 19% from Apr 2023 and down 12% from full-year 2023.