FX trading activity review
CLS Analytics
February 07, 2017
www.cls-group.com
CLS Classification: Public Information
The information and opinions in this report were prepared by CLS. Though the information herein is believed to be reliable, CLS makes no
representation as to its accuracy or completeness.
® CLS and the CLS logo are registered trademarks of CLS UK Intermediate Holdings Ltd
© 2017 CLS Intermediate Holdings Ltd.
Background
Each month, our analytics group reviews foreign exchange (FX) trading activity, comparing the current
month to prior months and looking at daily and hourly activity within the month. The spot, FX swap and
outright forward markets are covered in aggregate and at a currency pair level. The report is based on
trade data submitted to us in operation of our settlement and aggregation services, and this underlying
data is available to subscribers at www.Quandl.com. More details on how the data is prepared and its
availability on Quandl can be found in the appendix.
FX market overview
Average daily traded volumes in January 2017 were USD1.46 trillion, up 5.4 percent compared to
December. This increase may be due to seasonally higher volumes in January as volumes were down
1.4 percent on a year-on-year basis (ie compared to January 2016).
Fig. 1
FX swaps and forwards up compared to January 2016
Average daily volume (USD billions) by product in Jan 2017 vs prior month and year
904
Swap
+6.8%
460
Spot
−17.0%
93
Dec 2016
Forward
+24.0%
% change vs
Jan 2016
Source: CLS Analytics
As shown in Figure 1, the year-on-year increase in overall volumes was not seen across all products.
While FX swaps were up 6.8 percent, compared to a year ago, contributing USD904 billion to the
total, spot trades were down 17 percent and contributed USD460 billion. Outright forwards were also
up, 24 percent, and contributed USD93 billion to the total volume.
Monthly comparisons, such as those above, are always vulnerable to short-term fluctuations (in either
the current or comparison month), but Figure 2 shows that these changes were part of a longer-term
trend of declining spot volumes, but growing FX swap activity.
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Fig. 2
FX swap activity trending up, spot trending down
Average daily volume (USD billions) by product each month over last four years
1000
Swap 904bn
750
500
Spot 460bn
250
Forward 93bn
0
2013
2014
2015
2016
Notes: Jan 2016 and Jan 2017 are indicated by dots
2017
Source: CLS Analytics
Spot market
Having reviewed the overall FX market, we now focus on the spot market. We look first at trends in
monthly volumes, then at daily volumes and finally at hourly volumes within the month.
Monthly spot volumes
As was noted previously, spot volumes have been in decline over the last several months, but this
pattern is not seen across all currency pairs. Figure 3 shows that while the most traded currency
pairs declined signficantly compared to a year ago, volumes in some of the smaller pairs, in particular
USDSGD, USDSEK and USDDKK grew significantly this month compared to last year. It should be
noted however that their contribution to overall volumes remains small.
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Fig. 3
Growth in USDSGD, USDSEK, EURDKK, USDDKK, USDILS, USDHUF
Average daily spot volume (USD billions) by currency pair in Jan 2017 vs one month and one year ago
EURUSD
USDJPY
GBPUSD
USDCAD
AUDUSD
USDCHF
EURGBP
USDSGD
12 +17%
USDMXN
EURJPY
NZDUSD
USDKRW
EURSEK
USDHKD
EURCHF
USDZAR
EURNOK
GBPJPY
USDSEK
3.3 +13%
EURAUD
AUDJPY
USDNOK
EURCAD
AUDNZD
EURDKK
1.6 +4%
USDILS
1.1 +0%
USDDKK
0.93 +56%
CADJPY
GBPAUD
GBPCAD
GBPCHF
USDHUF 0.053
% change vs
0
50
100
Notes
1 Currency pairs that grew compared to last year are highlighted in blue
2 HUF was added to the CLS platform in Nov 2015, so the growth reflects ramp−up on the platform
Dec 2016
Jan 2016
Source: CLS Analytics
Month-on-month comparisons at a currency pair level may be heavily influenced by short-term
fluctuations (in the current or comparison month) masking any underlying trend. A review over a
longer period, as shown in Figure 4, helps distinguish between these short and long-term effects and
highlights some interesting trends.
Figure 4 shows that volumes in the majority of pairs, notably the majors and large crosses, have been
in gradual decline over the last four years. Of those that grew this month (compared to January 2016),
growth in many pairs such as USDDKK, EURDKK and USDILS seems to be a temporary uptick on an
otherwise downward trajectory. Some Scandie and CAD pairs, GBPJPY, USDSGD and USDHKD all
seem to be on a sustained upward trend.
USDHUF is growing most aggressively, but this reflects the ramp-up of HUF on the CLS platform,
since it went live in November 2015, rather than genuine market growth.
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Fig. 4
Spot volumes in some Scandie and CAD pairs, GBPJPY, USDSGD and USDHKD growing
Average daily spot volume (USD billions), and trend line, by currency pair each month in last four years
USDMXN
GBPCAD
CADJPY
USDKRW
USDCAD
GBPUSD
USDJPY
USDSGD
EURCAD
EURGBP
GBPJPY
USDHKD
EURUSD
GBPCHF
GBPAUD
AUDJPY
USDCHF
EURCHF
EURJPY
AUDUSD
USDDKK
EURDKK
EURAUD
AUDNZD
USDSEK
EURSEK
USDHUF
NZDUSD
USDNOK
EURNOK
USDILS
USDZAR
2013
2014
2015
2016
2017
2013
2014
2015
2016
2017
2013
2014
2015
Notes
1 Currency pairs are arranged approximately geographically, see the appendix for a currency pair 'map'.
2 Trend lines are from a simple linear regression in time, and coloured blue when their slope is positive.
3 Dots indicate Jan 2016 and Jan 2017.
4 HUF was added to the CLS platform in Nov 2015 and growth since then largely reflects ramp−up.
2016
2017
2013
2014
2015
2016
2017
Source: CLS Analytics
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Daily spot volumes
Having reviewed spot activity over the longer term, we switch now to look at activity within the month,
starting with daily activity, as shown in Figure 5. The figure shows spot activity each day in January
and highlights the busiest day as 31 January, when USD646 billion was traded.
Fig. 5
Daily spot volumes peaked on Tuesday 31 January
Spot volumes (USD billions) each trading day in January 2017
646bn 31 Jan
600
400
200
0
02 03 04 05 06
09 10 11 12 13
16 17 18 19 20
23 24 25 26 27
30 31
Source: CLS Analytics
Figure 6 shows daily spot volumes for each currency pair, and highlights that 31 January was also the
busiest day in the month for EURUSD, USDCHF, USDCAD, USDNOK, EURNOK, EURCHF, EURJPY,
EURDKK and EURAUD. Heightened trading activity was due to end-of-month currency rebalancing.
Volatility was also high and the US dollar sold off against G10 majors after President Trump and his
team once again accused foreign governments of unfair currency manipulation - in an interview with
the Financial Times, Trump’s trade advisor Peter Navarro commented that the German government is
using a “grossly undervalued” euro to “exploit” trading partners. Meanwhile, Trump reiterated his view
that China and others are manipulating currencies.
USDJPY volumes peaked on 11 January when President - Elect Trump held his first press conference.
While Trump adddressed issues from Russian hacking allegations to drug prices and the fate of
his family business, there was a lack of detail on the timing and scope of planned policies from
infrastructure spending to trade pacts. As a result, USDJPY declined.
GBPUSD, EURGBP and GBPJPY volumes spiked on 17 January after British Prime Minister Theresa
May announced that the UK will seek a customs agreement with the EU and that its membership to
the single market will be revoked.
AUDUSD, AUDJPY and AUDNZD volumes peaked on 25 January after the release of lower-thanexpected CPI (0.5 percent Q/Q actual versus 0.7 percent expected), providing room for the Reserve
Bank of Australia to keep interest rates lower for a longer period.
USDMXN volumes spiked on 26 January and the Mexican peso slumped as the Mexican President
Enrique Pena Nieto cancelled his meeting with the U.S. President Donald Trump. The announcement
came just a few hours after Trump tweeted that the meeting should be cancelled if Mexico was unwilling
to pay for a wall at the U.S. - Mexico border.
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Fig. 6
EURUSD, USDCAD, USDCHF, USDNOK and EURJPY volumes peaked on Tuesday 31 January
Spot volumes (USD billions) each trading day of Jan 2017 by currency pair
USDMXN
GBPCAD
CADJPY
17bn 26 Jan
USDCAD
0.85bn 31 Jan
GBPUSD
55bn 31 Jan
EURCAD
USDCHF
EURAUD
EURSEK
USDNOK
39bn 25 Jan
AUDNZD
4.5bn 31 Jan
USDHUF
13bn 12 Jan
EURNOK
5.3bn 31 Jan
AUDUSD
14bn 31 Jan
2.9bn 31 Jan
6.4bn 13 Jan
3.8bn 25 Jan
EURJPY
EURDKK
USDSEK
AUDJPY
1.1bn 24 Jan
12bn 26 Jan
2.2bn 13 Jan
11bn 13 Jan
GBPAUD
EURCHF
USDDKK
USDHKD
6.5bn 17 Jan
1.1bn 17 Jan
22bn 31 Jan
19bn 05 Jan
GBPJPY
GBPCHF
180bn 31 Jan
USDSGD
160bn 11 Jan
24bn 17 Jan
EURUSD
9.7bn 13 Jan
USDJPY
86bn 17 Jan
EURGBP
2.7bn 18 Jan
USDKRW
1.5bn 24 Jan
4.9bn 25 Jan
NZDUSD
0.15bn 13 Jan
11bn 10 Jan
USDILS
7bn 31 Jan
02
09
16
23
30
02
09
16
23
30
02
09
16
Notes
1 Currency pairs are arranged approximately geographically, see the appendix for a currency pair 'map'.
2 Busiest day overall, 31 Jan, indicated in blue on each graph.
3 Where the busiest day for a currency pair differed from the overall, this is indicated by a dark grey bar.
USDZAR
2bn 31 Jan
23
30
8.6bn 12 Jan
02
09
16
23
30
Source: CLS Analytics
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Hourly spot volumes
Daily activity within the month provides some insight, but greater detail can be discerned by reviewing
activity at an hourly level. Figure 7 shows spot volume each hour on every day of January 2017 and
reveals the three spikes of activity, corresponding to the main trading centres in Asia, Europe and
the Americas, that are characteristic of the spot market. The busiest hour is highlighted as 16:00
Tuesday 31 January (London time) when USD84 billion traded. As highlighted in Figure 8, 16:00 31
January was the busiest hour for AUDUSD, USDCHF, USDDKK, GBPAUD and GBPCAD. As already
discussed, the busiest hour in January was due to the burst in trading activity around the month-end
Reuters fixing.
Whilst for most of the major pairs the daily peak and the hourly peak occurred on the same day, this
was not the case for EURUSD. The busiest hour for EURUSD was 15:00 05 January when the dollar
fell to its lowest since 14 December, dropping more than 1 percent in a round of stop-loss selling. The
dollar drop also reflected a market positioned long USD overall, a trade that had been popular since
the Trump election.
Fig. 7
Hourly spot volumes peaked at 16:00 31 January
Hourly spot volume (USD billions) in Jan 2017, with one line for each day in the month
84bn at 16:00 31 Jan
80
60
40
20
0
22:00 00:00 02:00 04:00 06:00 08:00 10:00
Notes
1 All times are in London local time (either GMT or BST)
2 First hour of trading day at 22:00, last hour 21:00
12:00
14:00
16:00
18:00
20:00
Source: CLS Analytics
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FX trading activity review
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Fig. 8
AUDUSD, USDCHF, USDDKK, GBPAUD and GBPCAD volumes peaked at 16:00 31 Jan
Hourly spot volume (USD billions) in Jan 2017 by currency pair, with one line for each day in the month
USDMXN
13:00 05 Jan
USDCAD
16:00 18 Jan
EURCAD
13:00 25 Jan
EURUSD
15:00 05 Jan
USDCHF
USDDKK
USDSEK
USDNOK
16:00 31 Jan
16:00 31 Jan
08:00 03 Jan
08:00 31 Jan
GBPCAD
16:00 31 Jan
CADJPY
USDKRW
15:00 24 Jan
GBPUSD
USDJPY
EURGBP
GBPJPY
GBPCHF
GBPAUD
EURCHF
EURJPY
EURDKK
EURAUD
AUDNZD
USDHUF
NZDUSD
USDILS
USDZAR
12:00 17 Jan
12:00 17 Jan
12:00 17 Jan
13:00 06 Jan
12:00 16 Jan
EURSEK
EURNOK
08:00 12 Jan
07:00 10 Jan
USDSGD
18:00 11 Jan
05:00 05 Jan
USDHKD
12:00 17 Jan
01:00 13 Jan
AUDJPY
16:00 31 Jan
00:00 25 Jan
AUDUSD
18:00 11 Jan
09:00 31 Jan
16:00 31 Jan
00:00 25 Jan
14:00 24 Jan
09:00 13 Jan
22
02
06
10
14
18
22
02
06
10
14
18
22
02
06
10
14
Notes
1 Currency pairs are arranged approximately geographically, see the appendix for a currency pair 'map'.
2 All times in local London time, with the first hour of the day at 22:00, the last at 21:00.
3 Busiest hour overall, 16:00 31 Jan, indicated in blue on each graph.
4 Where the busiest hour for a currency pair differed from the overall, this is indicated by a dark dot.
06:00 25 Jan
18
22
02
16:00 11 Jan
15:00 11 Jan
06
10
14
18
Source: CLS Analytics
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Appendix
Notes on the data
The data in this report is based on trades submitted to the CLS settlement and aggregation services.
The data is adjusted to equate to the same reporting convention used by the Bank for International
Settlements (BIS) and the semi-annual foreign exchange committee market reports. These surveys
only report one side of any trade, and only the far leg of FX swap trades, to avoid double counting the
total amount of trades.
In determining the time of submission, only matched trades are included and we use the earlier of the
two submission times as the trade time proxy. We receive confirmation on the majority of trades from
settlement members within 2 minutes of trade execution.
We determine the instrument type using an algorithm. The data here is restricted to 32 currency
pairs which meet the volume requirements of the algorithm with the exception of USD/HUF which was
included to provide visibility into the HUF which was added in November 2015.
Please contact [email protected] with any questions you have relating to the data used in the
report.
CLS data available on Quandl
The detailed volume data underlying this review is made available on Quandl, an on-line marketplace
for financial and economic data. Data at a monthly, daily and hourly frequency can be purchased
by subscription by following this link: https://www.quandl.com/browse?idx=database-browser_
currency-data_traditional-currencies_volumes
The ‘R’ code used to generate this report from the Quandl data is available on request by e-mailing
[email protected]
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Currency pair ‘map’
The currency pair figures in this report follow the layout shown in figure 9. With the exception of USD,
the largest currencies are colour-coded to help correlate changes across their pairs, for example JPY
is colour-coded red wherever it appears. Pairs are also arranged approximately geographically to
help see regional effects: North American currencies (except USD), appear at the top left, European
currencies in the middle left (Nordic pairs bottom left), Asia Pacific pairs to the middle right and Middle
Eastern and African currencies at the bottom right. Crosses between currencies in different regions
appear on their respective ‘borders’. As noted above, USD is treated differently due to it’s importance:
several currencies are only traded versus USD and it is involved in the majority of pairs.
Fig. 9
Currency Pair 'Map'
Pairs are positioned in geographical regions
USDMXN
GBPCAD
CADJPY
USDKRW
USDCAD
GBPUSD
USDJPY
USDSGD
EURCAD
EURGBP
GBPJPY
USDHKD
EURUSD
GBPCHF
GBPAUD
AUDJPY
USDCHF
EURCHF
EURJPY
AUDUSD
USDDKK
EURDKK
EURAUD
AUDNZD
USDSEK
EURSEK
USDHUF
NZDUSD
USDNOK
EURNOK
USDILS
USDZAR
Nordic
Asia Pacific
Europe
Americas
Middle East / Africa
Source: CLS Analytics
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