FX Platforms: Aug 15 vols surge on back of China volatility (EBS leads the pack, up 22%)


August saw a surge in volumes for major FX platforms, as the knock-on effects of the Chinese stock market free fall, spread to other markets causing sharp increase in FX volatility, driving up volumes.

Among the Top Tier platforms, EBS showed the largest gains, up 22.2% to $100.3bn/day, whilst Reuters Spot vols were up some 17.8% at $119bn/day, although Reuters ‘other products’ which include it’s SEF platform, were down -2.8% at $245bn/day. On the futures side, The CME showed a 21.5% increase across all FX products.

Among the second ranked platforms, Hotspot recorded a 20.4% increase to $28.3bn/day, whilst Fastmatch was up 14.5% at $9.2bn/day.

In terms of daily spikes in volumes, on 24th August, Hotspot saw daily volume surge to 59bn/day, and Fastmatch to over $20bn/day (4th highest daily vol), in both cases about twice the monthly daily averages (neither Reuters nor EBS provided details of daily peak volumes for August). FXCM and GAIN yet to release Aug metrics.

Top Tier Platforms

Looking at the table below, the surge in volumes is all spot risk related, as seen from the small drop of -2.8% in Reuters ‘other’ product volumes. Although, interestingly, if we look at the daily data provided by Reuters for their SEF, although tiny in comparison,  we can see that actually there was an increase in ADV from $659mln/day to $742mln/day (note that SEF vols are in $mln’s not $bn), and some spike surge volume days as well.

1st tier platform vols Aug 15Table showing Top Tier platforms: Reuters, EBS and CME Futures vols for Aug 2015

Reuters SEF Jul & Aug 15

Chart showing Reuters SEF (NDF/FXO) volumes for Jul & AUg 15 with surge vols circled

Reuters – EBS Difference: In terms of the Reuters-EBS differential that we track, in Aug the differential was almost unchanged, as can be seen from the horizontal red line in the green box in the chart below. However, as pointed out last month, the chart below has now broken above the dotted blue downtrend line (see green area) establish back in Jan 14. If it manages to consolidate above the line, that will indicate a rising differential, and an increase in Reuters volumes relative to EBS.

Reuters - EBS difference Charts Aug 15Chart showing the gap between Reuters and EBS spot FX (Reuters-EBS) vols for Aug 2015

Second Tier Platforms

In terms of the second tier, only FastMatch and Hotspot have released volumes, with Hotspot up 20.4% at $28.3bn/day, whilst Fastmatch up 14.5% at $9.2bn/day. In terms of daily spikes in volumes, on 24th August, Hotspot saw daily volume surge to 59bn/day, and Fastmatch to over $20bn/day (4th highest daily vol), in both cases about twice the monthly ADV.

2nd tier platform vols Aug 15

Table showing Second Tier platforms: Hotspot, Fastmatch vols for Aug 2015

The bottom chart below, shows the gap between Hotspot and Fastmatch. It appears to be in a downtrend channel (as shown by the dotted parallel blue lines), reflecting a narrowing of the gap between the platforms. Although as the red arrow indicates, the chart is turning back up and moving towards the upper boundary of the down channel as shown by the upper of the two dotted blue lines.

2nd tier platform Chart vols Aug15

Chart showing the gap between Hotspot and Fastmatch spot FX (Hotspot-Fastmatch) vols for Aug 2015

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