Daily spot FX volume grows 28% by October 2011

The Survey of North American Foreign Exchange Volume is designed to measure the level of turnover in the foreign exchange

The Survey of North American Foreign Exchange Volume is designed to measure the level of turnover in the foreign exchange market. The survey defines foreign exchange transactions as spot, forwards, swaps, and options that involve the exchange of two currencies. Turnover is defined as the gross value in U.S. dollar equivalents of purchases and sales entered into during the reporting period. The data cover a one-month period in order to reduce the likelihood that very short-term variations in activity might distort the data.

This semi-annual survey shows a huge surge in spot trading volumes. While the previous semi-annual survey released in July 2011 showed a 5.3 percent decline in volumes current survey shows 27.8 percent growth. Spot fx was the highest growing segment well above OTC Options, Forwards and Swaps.

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According to the most recent Forex Magnates Survey retail forex volumes grew by 4.5% excluding the Japanese market. Including this market, which suffered due to two regulatory leverage reductions, retail forex market lost 1% in volume since last quarter.

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All data reported in millions of U.S. Dollars   
Average Daily Volume   
InstrumentCurrent Amount ReportedDollar Change over Previous YearPercent Change over Previous Year
Spot Transactions564,466122,90827.8
Forward Transactions135,29113,71111.3
Foreign Exchange Swaps Transactions245,17325,55311.6
Over the Counter Options31,8165,52521.0
GRAND TOTAL976,746167,69720.7
Total Monthly Volume   
InstrumentCurrent Amount ReportedDollar change over Previous YearPercent Change over Previous Year
Spot Transactions11,853,7602,581,09127.8
Forward Transactions2,841,079287,91511.3
Foreign Exchange Swaps Transactions5,148,667536,69111.6
Over the Counter Options668,158115,93721.0
GRAND TOTAL20,511,6643,521,63420.7

Turnover is measured in terms of nominal or notional amount of the contracts. No distinction is made between sales and purchases (for example, a purchase of $3 million against the U.S. dollar and a sale of $2 million against the U.S. dollar would amount to a gross turnover of $5 million). Nondollar amounts are converted using the prevailing exchange rate on the transaction date. Direct cross-currency transactions are counted as a single transaction.

Transactions passing through a vehicle currency are counted as two separate transactions against the vehicle currency (for example, if a bank sells $1 million against the euro and then uses the euro to purchase Japanese yen, the reported turnover would be $2 million). Transactions with variable nominal or notional principal amounts are reported using the principal amount on the transaction date.

The data collected for the survey reflect all transactions entered into during the reporting month, regardless of whether delivery or settlement is made during the month.

Average daily turnover was obtained by dividing the total volume by the number of trading days in the month. There were twenty-five reporting dealers in the October 2011 survey.

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