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New ADV Lows for FX Primary Venues

May saw average daily volume on both EBS and Refinitiv’s spot platforms fall back further from April, with both reporting their lowest ADV since they started reporting data in January 2007 and April 2009 respectively.

CME Group, which owns EBS, says spot ADV was $56.7 billion in May, a 6.7% decline from April and 27.7% down year-on-year. FX volume in CME’s suite was actually up a little from April’s low, the Merc reporting notional ADV of $56.4 billion, an 11.5% increase month-on-month, but down 29.2% from May 2019.

At Refinitiv, the picture was the same but the numbers were less stark, spot activity was $74 billion, a 6.3% decline from April and down 14% year-on-year. Non-spot volume on Refinitiv’s platforms was also sharply down at $292 billion, an 11% decline from April, but only 1.7% down year-on-year, it was however, the lowest reported since August 2017.

Earlier this month, Integral reported FX ADV across all products of $32.6 billion, a 7.1% decline from April, but a 6.9% increase year-on-year and SGX said FX ADV was a fraction under 2 million contracts, which Profit & Loss estimates to be $5.1 billion, an 18% increase from April.

The data from EBS and indeed CME Group’s futures may be a little concerning to management given how the year-on-year decline is much steeper than other venues. While Refinitiv’s year-on-year decline is largely in line with that seen at 360T, CboeFX only saw activity decline by just over 5% and FXSpotStream and Euronext FX both saw small increases over the same period in data reported earlier this month.

Colin Lambert

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