FX is Weakest Link During Strong Month of CME Volumes

Photo: Ron Finberg

The CME Group has posted its total trading volumes for August. During the month, total futures and options volumes rose 12.5% MoM to 238,980,256 contracts. The figures were 13.2% higher than the same period last year. Leading the way were Interest Rate and Equity Index products, where total volumes rose 22.0% and 15.9% respectively from July. Surprisingly, despite sharp moves in Crude Oil which led to the CME Group reporting record open interest and volume figures for Nymex Brent and Light Sweet Crude contracts, combined Energy products saw a decline in MoM volumes. The overall energy division was affected by a drop in non-crude contracts such as heating oil and natural gas.

The weakest group was in FX, as total futures and options volumes were 16,400,854 contracts, 2.5% below the same period in 2012, and a 7.7% decline from July (Due to August having one fewer business day than July, and on an average daily basis, August volumes were only slightly below July). Among individual major futures contracts, weakness was seen in the Euro, Aussie, and British pound, whose volumes fell 13.8%, 13.2%, and 8.3% respectively from July (see below). Bucking the trend was the Japanese yen, which experienced slight growth in futures volumes. The data contrasts to volumes reported yesterday from the Tokyo Financial Exchange, where Japanese yen crosses fell across the board. As such, despite a drop in yen volatility during August, volumes may have been assisted by the presence of multi-asset systematic traders that are including the currency within their interest rate product correlations.