Platforms Hit New Highs as Return of FX Volatility Helps ADV

The surge in activity associated with the return of volatility towards the end of February has propelled Euronext FX, FXSpotStream and CboeFX to new daily volume highs.

On Friday February 28, EuronextFX reported it handled $45.8 billion, exceeding its previous high water mark of $39.6 billion set on June 24, 2016. Meanwhile the firm’s Tape had three successive daily records last week, peaking with it reporting $189.9 billion worth of volume on Friday, prior to last week the high was $132.5 billion on October 8, 2018. The surge in activity helped Euronext report a new monthly average daily volume (ADV) record of $23.2 billion, the previous record was May 2018 at $22.6 billion. Equally the Tape reported $106.9 billion in February, only the second time it has exceeded $100 billion on a monthly basis, the first being March 2018.

Euronext’s ADV represents a 34.9% increase from January and a 28.2% increase year-on-year – for the Tape the increases are 28.3% and 65.7% respectively.

FXSpotStream meanwhile, also hit new records, it handled ADV of $47.8 billion in February, a 29.2% increase on January and a 37.2% increase year-on-year, including a new daily peak of $86.8 billion on Friday.

CboeFX meanwhile hit a new daily record of $75 billion on Friday, beating the previous peak of $68.4 billion on January 25 2018. Monthly ADV at Cboe was $41.25 billion, the third highest on record, $44.2 billion in February 2018 remains the high point for the platform. This is a 22.8% increase from January and a 19.6% increase year-on-year.

ADV on firm liquidity on CboeFX was $11 billion, broadly in line with January (Friday’s record included $24 billion traded on firm liquidity) and the fill rate on non-firm liquidity dipped from 87.79% in January to 86.92% in February. On the record day, the non-firm fill rate fell, not unexpectedly, to 81.85%.

The data is expected to presage a strong reporting season for the platforms, CME Group handled over 2.14 million FX contracts on Friday, which will be over $200 billion in ADV, and sources at Refinitiv and EBS say Friday was the busiest day for some time.

 

Colin Lambert

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