Looks like the risk-on / risk-off volatility in November helped drive FX volumes.
CME Group, which runs the world’s largest derivatives marketplace, announced that FX contract volumes (mainly Eurodollar futures contracts) in its system were up by 9% in November from October levels to an average of 775,000 contracts daily. It looks like the U.S. election-driven volatility — with a post-election risk-off trade driving the EURUSD down from 1.30 down to below 1.27, followed by a mid-month risk-on bounce back up to above 1.30 by month-end — brought more traders and more volume back to the FX markets.
November’s volumes. however, remained 4% below last year November’s volumes, and even further below the 900,000 contacts average volume seen during 2011 and the first half of 2012. Also note that, as we reported last month, October’s volumes represented CME’s slowest month for FX since August 2009.
We expect at this point to report a slight rise in the November LeapRate Retail FX Volume Index, sponsored by Leverate, due out later in the month. We should learn more when Forex ECNs such as ICAP, Hotspot FX, FXall and Thomson Reuters release figures in the coming days and weeks. Stay tuned…
While CME’s reported volumes are futures contracts, they typically are a good predictor of retail / spot volumes as well. Those markets are interconnected, and are typically driven by the same catalyst — namely volatility.
For more on the global Forex industry see the LeapRate-Dow Jones Forex Industry Report.