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FX Volumes Revert to Mean in April…and Then Some

As widely expected given the quieter nature of the month and major holidays, the first three FX platforms to report average daily volume (ADV) reveal a sharp drop back from March’s peaks.

CboeFX reports ADV of $29.3 billion, a 46.7% decline from March and also a 7.7% drop year-on-year, this actually represents the third lowest month in the past 12 for the platform. The platform’s non-firm fill rate was 84.24%, a recovery from March’s 81.62% but a decline from February’s 86.92%. There was a definite shift towards firm liquidity on the platform, ADV on these streams was $10.2 billion per day, and while this was down from $18.4 billion in March (and $11 billion in February), it does represent a significantly higher proportion of overall activity at 43%. In March firm liquidity on CboeFX was just over 33% of ADV, in February it was just under 27%.

It was a similar story at EuronextFX, where ADV fell by 45.1% from March to $20.3 billion, however this is a 26.9% increase year-on-year, indeed April is the fourth busiest month for the platform in the last 12. The Euronext FX Tape also reported less activity in April, average daily value was $78.1 billion, a 39.6% drop from March and a 7.9% year-on-year decline.

Deutsche Borse’s 360T platform, meanwhile, reports spot ADV of $18.8 billion, a 49% decline from March and a 5.5% year-on-year decline. The month actually represents the lowest spot ADV for the platform since data became available in July 2018. Previously, Deutsche Borse reported overall FX volume for March, including the spot data, of EUR 109.7 billion per day, Profit & Loss estimates this is non-spot volumes of approximately EUR 76 billion, which would be a 12% increase from February.

Colin Lambert

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