FX Platforms Nov15: Reuters FX spot vols down -13.5% in Nov (lowest since Jan-13)


Thomson Reuters has released Nov15  FX vols, which show a fourth monthly drop, with FX Spot vols down -13.5% at $90bn/day, the lowest reported vols for Reuters spot FX since Reuters started releasing their new format of volumes in Jan 13, whilst overall Reuters FX volumes down -10.5% at $316bn/day to the lowest level since Nov 13.

This compares to EBS, who reported vols down -9.9% at $75.5bn/day (lowest since the $70.6bn/day reported in Jul 14), although The CME faired better with the smallest fall, down -3.2% at $89.1bn/day (lowest since Aug 14).

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

If we look closer atReuters: Chart below shows Reuters Spot, Other volumes (which includes SEF swaps as well as NDF vols) and total vols. Looking at the YoY changes in the table above, it’s interesting to note that whilst Reuters spot vols are down -25% compared to the $120bn/day in Nov 14, the Reuters Other vols are almost unchanged at $226bn/day compared to the $227bn/day in Nov 14, indicating stable market share in products other than spot.

Reuters FX Vols Nov 15Reuters Monthly FX vols for Spot, Other and total vols Nov 15

Looking now at the relative performance of Reuters and EBS.

Reuters-EBS Difference: As we approach the year-end, perhaps we shouldn’t draw too much into relative performance of these two platforms.

Having said that, looking at the differential that we track between Reuters-EBS (red line), in Nov the differential narrowed considerably dropping from $20.4bn/day in Oct in favor of Reuters to only $14.7bn/day in Nov a fall of nearly -28% and now looks to be heading towards a test of the minor up-trend dotted black line (shown inside the green box), which has been supporting Reuters relative to EBS since Nov 14.

Indeed we could view the horizontal green line as a resistance level, where Reuters volumes have struggled to improve against EBS, falling back when they exceed the differential of $20bn/day (as shown be green circles).

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

Let’s wait Dec but more importantly in the new year when vols pick up again, whether Reuters continues to weaken relative to EBS, which would be confirmed by a break below the rising dotted black up-trend line.

Second tier platforms (Fastmatch and Hotspot reported Nov vols last week, here)

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