Although spot FX markets have been characterised as existing in a very low volatility and volume environment, the same cannot be said for the interest rate space, and that has enabled FX volumes to remain steady over the past year according to data from six regional FX committees. The FX committees of the UK, US, […]
Tag: Fx Volumes
The first two platforms to report June average daily volume indicates that activity rose slightly in June from May, reinforcing a small rebound from April’s lows. CboeFX ADV was unchanged month-on-month at $33.1 billion per day, but 12.4% down year-on-year, while Euronext FX reports ADV of $19.3 billion, up 11.6% from May but down 12% […]
In this week’s podcast P&L’s editor Galen Stops is in ebullient mood as trend followers return to profitability and he is quick to let P&L’s managing editor Colin Lambert – who predicted the death of trend following last year you may recall – know this fact. As well the expected bluster and refusal to change […]
Data from CME Group, Integral Development and Refinitiv, which reports a new high in average daily volume (ADV), confirms the picture established by three other platforms earlier this week of a rebound in March FX volumes.
CME Group says its FX futures and options franchise handled 1,042,000 contracts per day in March, which Profit & Loss estimates to be just over $103 billion in notional volume. This is a 36% increase on activity in February, but is 7% down year-on-year, it is also CME’s busiest month in FX since September 2018.
The three primary FX venues to report average daily volume (ADV) data have reinforced data from a second group that activity in the market was low in February.
Refinitv says it handled $87 billion in spot ADV in February, down 8.4% from January and down 23% from February 2018, while CME Group says both its futures and EBS businesses saw similar declines.
CME Group reports ADV in futures and options contracts of 762,000, which Profit & Loss estimates to be notional volume of $75.4 billion. This is a 9.2% drop month-on-month but down 30% year-on-year.
In this week’s podcast Colin Lambert and Galen Stops discuss the article penned for Profit & Loss by former FX trader Rohan Ramchandani about his trial and subsequent acquittal for market manipulation. While they generally agree on most points there is, inevitably, areas of disagreement, but that is nothing compared to when they move on (thanks to a quiet news week) to how they ranked each other’s predictions for 2018. The results are available on the website, but why did Stops given Lambert a 6/10 for a bitcoin prediction that was actually correct? And why did Lambert return the compliment given Stops just a 4/10 for his own crypto prediction? All will be revealed in this week’s In the FICC of It podcast, along with exactly which one of them scored the most points with their predictions.
Although EBS volumes rose month-on-month, average daily volume data for CME Group weakened in January from the year before.
CME’s FX futures and options product set had ADV of 838,000 contracts per day, which Profit & Loss estimates represents $83 billion per day, a 23.5% fall from January 2018. This is also a 15.3% drop from December’s estimate of $98 billion per day in notional value.
Meanwhile, EBS, which is now owned by CME, reports spot FX volume of $87.1 billion in January, 14% higher than December, but 17% down on a year-on-year basis. This also represents the worst January for the platform since it started reporting ADV in January 2007.
Scepticism abounds in this week’s In the FICC of It podcast as Colin Lambert and Galen Stops take a look at the latest bank to unveil a digital markets strategy – including all your favourite buzzwords. While Stops believes this is the latest move in what will be a growing trend, our podcasters also wonder whether it’s not really just a rebranding exercise?
They then move into more traditional areas and discuss JP Morgan’s survey on FX market conditions, and while they agree with a lot of the findings, there are one or two areas that raise an eyebrow, not least around internalisation and AI.
AI-generated trading and liquidity are also the forefront as they move on to share their thoughts around the flash crash in Jardine Matheson stock last week in Singapore, including asking the question, what does it mean for market maker programmes and certain order types?
The discussion then moves on to look at the latest FX turnover surveys from the world’s FX committees, with particular attention on three interesting/puzzling (delete as appropriate) elements of the UK report surrounding RMB, NDFs and voice brokers.
The podcast ends on with Lambert praising “the optimism of youth” after Stops highlights what he thinks could be a very important line at the end of the latest document detailing an FX-related fine in the US – in other words, the cynic in him won the day!
EBS Markets has reported average daily turnover (ADV) of $88.7 billion in spot FX products in October, a 3% increase on September and a 10% increase year-on-year. The firm, the name of which will be reverting to EBS following the completion of its takeover by CME Group, has now reported three consecutive monthly increases, following a sharp drop in July – at $88.7 billion turnover is slightly below the average for the first nine months of the year of $93.2 billion.
The first batch of FX platforms to report data indicate October saw a modest uptick in activity from September, although CME Group saw average daily volume (ADV) fall from an outstanding previous month.
The stand-out results come from FXSpotStream, which has reported another peak in activity at $35.9 billion per day. Not only does this represent a 12.5% increase from the previous record in September and a huge 80.1% increase year-on-year, it also means that FXSS is recording ADV very close to CboeFX, formerly HotspotFX.