CLS Market Data

FX trading
activity review
Monthly market report
CLS Analytics
05 March 2018
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FX trading activity review
5 Mar 2018
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 FX spot, 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. The data is made available via subscription and more information on how to
subscribe can be found in the appendix.
FX market overview
Average daily traded volumes in February 2018 were USD1.95 trillion, up 8 percent compared to January. Volumes
were up on a year-on-year basis (up 30 percent compared to February 2017).
FX swaps and forwards up compared to last year Fig. 1

Average daily volume (USD billions) by product in Feb 2018 vs prior month and year
1307
Swap
+34%
542
Spot
+27%
100 Jan 2018

Forward
+9% % change vs Feb 2017
0 500 1000
Source: CLS Analytics
As shown in Figure 1, the year-on-year increase in overall volumes was seen across all products. FX swaps were up 34
percent, compared to a year ago, contributing USD1.31 trillion to the total, spot trades were up 27 percent and
contributed USD542 billion. Outright forwards were up 9 percent and contributed USD100 billion to the total volume.
CLS Classification: Public Information 2

5 Mar 2018
Monthly comparisons, such as those above, are always vulnerable to short-term fluctuations (in either the current or
comparison month). Figure 2 shows that there is a longer-term trend of declining spot volumes (although this decline
seems to have flattened in recent months), but growing FX swap activity.
FX swap activity trending up, spot and forwards flat Fig. 2

Average daily volume (USD billions) by product each month over last four years
Swap 1307bn
1250
1000
750
500
Spot 542bn
250
Forward 100bn
0
2014 2015 2016 2017 2018
Notes: Feb 2017 and Feb 2018 are indicated by dots Source: CLS Analytics

5 Mar 2018
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 in February were up 27% compared to last year. Figure 3 shows that currency
pairs such as EURUSD, GBPUSD and USDJPY grew this month compared to the same month last year.
Growth in currency pairs such as EURUSD, GBPUSD and USDCAD Fig. 3

Average daily spot volume (USD billions) by currency pair in Feb 2018 vs one month and one year ago
EURUSD 150 +31%

USDJPY 100 +17%
GBPUSD 52 +32%
USDCAD 41 +21%
AUDUSD 37 +28%
EURJPY 20 +94%
USDCHF 14 +12%
EURGBP 13 +14%
USDMXN 11 +35%
NZDUSD 11 +23%
USDSGD 10 +4%
EURSEK 8.9 +46%
USDHKD 8.3 +25%
USDKRW 8.1 +16%
EURCHF 7.9 +17%
EURNOK 7.5 +68%
USDZAR 7.5 +13%
GBPJPY 6.7
AUDJPY 4.7 +60%
USDSEK 3.4 +11%
EURAUD
USDNOK 2.8 +18%
EURDKK 2.3 +20%
USDILS 2.1 +39%
AUDNZD
EURCAD 1.9 +12%
GBPAUD 1.2 +58%
GBPCHF 0.83 +100%
CADJPY 0.82 +30%
USDDKK
GBPCAD 0.55 +19% Jan 2018
USDHUF 0.053 +2% % change vs Feb 2017
0 50 100 150
Notes: Currency pairs that grew compared to last year are highlighted in red 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 from Figure 4 to Figure 9,
helps distinguish between these short and long-term effects and highlights some interesting trends.

5 Mar 2018
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.
Spot volumes in major currency pairs declining Fig. 4

Average daily spot volume (USD billions) and trend line by currency pair each month in last four years
EURUSD USDJPY
USDCAD GBPUSD
AUDUSD USDCHF
2015 2016 2017 2018 2015 2016 2017 2018
Notes
1 Trend lines are from a simple linear regression in time, and coloured red when their slope is positive.
2 Dots indicate Feb 2017 and Feb 2018. Source: CLS Analytics

5 Mar 2018
Figure 5 shows that EURSEK volumes are growing.

Spot volumes in EURSEK growing Fig. 5
EURUSD EURJPY
EURGBP EURCHF
EURSEK EURNOK
EURAUD EURCAD
EURDKK
2015 2016 2017 2018
Notes

5 Mar 2018
Figure 6 shows that volumes in the Asia Pacific pairs, USDSGD, USDHKD and CADJPY, seem to be on a sustained
upward trend.
Spot volumes in USDSGD, USDHKD and CADJPY growing Fig. 6
USDJPY NZDUSD
AUDUSD USDSGD
USDHKD USDKRW
AUDJPY CADJPY
2015 2016 2017 2018 2015 2016 2017 2018
Notes

5 Mar 2018
Figure 7 shows that volumes in the GBP currency pairs, have been in gradual decline over the last four years.
Spot volumes in GBP currency pairs declining Fig. 7
GBPUSD EURGBP
GBPJPY GBPAUD
GBPCAD GBPCHF
2015 2016 2017 2018 2015 2016 2017 2018
Notes

5 Mar 2018
Figure 8 shows that volumes in several Nordic pairs seem to be on a sustained upward trend.
Spot volumes in EURSEK, USDSEK and USDNOK growing Fig. 8
EURSEK EURNOK
USDSEK USDNOK
EURDKK USDDKK
2015 2016 2017 2018 2015 2016 2017 2018
Notes

5 Mar 2018
Figure 9 shows volumes in other pairs. 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.
Spot volumes in USDHUF growing Fig. 9
USDZAR USDILS USDHUF
2015 2016 2017 2018 2015 2016 2017 2018 2015 2016 2017 2018
Notes
2 Dots indicate Feb 2017 and Feb 2018.
3 HUF was added to the CLS platform in Nov 2015 and growth since then largely reflects ramp−up. Source: CLS Analytics
Daily spot volumes

Having reviewed spot activity over the longer term, we now look at activity within the month, starting with daily activity, as
shown in Figure 10. The figure shows spot activity each day in February and highlights the busiest day as 06 February,
when USD818 billion was traded.
Daily spot volumes peaked on Tuesday, 06 February Fig. 10

Spot volumes (USD billions) each trading day in February 2018
800 818bn 06 Feb
600
400
200
0
01 02 05 06 07 08 09 12 13 14 15 16 19 20 21 22 23 26 27 28
Source: CLS Analytics

5 Mar 2018
Figure 11 shows daily spot volumes for major USD currency pairs and highlights that 06 February was not generally the
busiest day in the month.
Volumes for USDJPY and AUDUSD peaked on Tuesday, 06 February Fig. 11

Spot volumes (USD billions) each trading day of Feb 2018 by currency pair
EURUSD USDJPY
214bn 16 Feb 179bn 06 Feb
USDCAD GBPUSD
AUDUSD USDCHF
05 12 19 26 05 12 19 26
Notes
1 Busiest day overall, 06 Feb, indicated in red on each graph.
2 Where the busiest day for a currency pair differed from the overall, this is indicated by a dark blue bar. Source: CLS Analytics

5 Mar 2018
Figure 12 shows daily spot volumes for euro currency pairs, and highlights that 06 February was also the busiest day in
the month for EURJPY, EURCHF and EURAUD.
EURJPY, EURCHF and EURAUD volumes peaked on Tuesday, 06 February Fig. 12

EURUSD EURJPY
EURGBP EURCHF
EURSEK EURNOK
EURAUD EURCAD
EURDKK
4bn 09 Feb
05 12 19 26
Notes

5 Mar 2018
Figure 13 shows daily spot volumes for Asia Pacific currency pairs, and highlights that 06 February was also the busiest
day in the month for USDJPY, AUDUSD and AUDJPY.
Asia Pacific pairs USDJPY, AUDUSD and AUDJPY volumes peaked on Tuesday, 06 February Fig. 13
USDJPY NZDUSD
AUDUSD USDSGD
USDHKD USDKRW
AUDJPY CADJPY
05 12 19 26 05 12 19 26
Notes

5 Mar 2018
Figure 14 shows daily spot volumes for GBP currency pairs.
No GBP pair volumes peaked on Tuesday, 06 February Fig. 14

GBPUSD EURGBP
GBPJPY GBPAUD
GBPCAD GBPCHF
05 12 19 26 05 12 19 26
Notes

5 Mar 2018
Figure 15 shows daily spot volumes for nordic currency pairs.
Nordic pair volumes did not peak on Tuesday, 06 February Fig. 15

EURSEK EURNOK
USDSEK USDNOK
EURDKK USDDKK
05 12 19 26 05 12 19 26
Notes

5 Mar 2018
Figure 16 shows daily spot volumes for other currency pairs USDZAR, USDILS and USDHUF.
Volumes for USDZAR and USDILS peaked on Tuesday, 06 February Fig. 16

USDZAR USDILS USDHUF
12bn 06 Feb 3bn 06 Feb 0.15bn 16 Feb
05 12 19 26 05 12 19 26 05 12 19 26
Notes

5 Mar 2018
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 17 shows spot volume each hour on every day of February 2018 and reveals the three spikes of activity,
corresponding to the main trading centers in Asia, Europe and the Americas, that are characteristic of the spot market.
The busiest hour is highlighted as 15:00 Wednesday 14 February (London time) when USD101 billion traded. As
highlighted from Figure 18 to Figure 23, 15:00 14 February was the busiest hour for EURUSD, USDJPY and AUDJPY.
Hourly spot volumes peaked at 15:00 14 February Fig. 17

Hourly spot volume (USD billions) in Feb 2018, with one line for each day in the month
100 101bn at 15:00 14 Feb
75
50
25
0
22:00 00:00 02:00 04:00 06:00 08:00 10:00 12:00 14:00 16:00 18:00 20:00
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 Source: CLS Analytics

5 Mar 2018
EURUSD and USDJPY volumes peaked at 15:00 14 Feb Fig. 18

Hourly spot volume (USD billions) in Feb 2018 by currency pair, with one line for each day in the month
EURUSD USDJPY
15:00 14 Feb 15:00 14 Feb
USDCAD GBPUSD
13:00 09 Feb 12:00 08 Feb
AUDUSD USDCHF
13:00 14 Feb 08:00 16 Feb
22 02 06 10 14 18 22 02 06 10 14 18
Notes
1 All times in local London time, with the first hour of the day at 22:00, the last at 21:00.
2 Busiest hour overall, 15:00 14 Feb, indicated in red on each graph.
3 Where the busiest hour for a currency pair differed from the overall, this is indicated by a blue dot. Source: CLS Analytics

5 Mar 2018
EURUSD volumes peaked at 15:00 14 Feb Fig. 19

EURUSD EURJPY EURGBP
15:00 14 Feb 16:00 08 Feb 12:00 08 Feb
EURCHF EURSEK EURNOK
16:00 08 Feb 10:00 09 Feb 10:00 09 Feb
EURAUD EURCAD EURDKK
16:00 06 Feb 15:00 08 Feb 13:00 22 Feb
22 02 06 10 14 18 22 02 06 10 14 18 22 02 06 10 14 18
Notes

5 Mar 2018
USDJPY and AUDJPY volumes peaked at 15:00 14 Feb Fig. 20

USDJPY NZDUSD
15:00 14 Feb 13:00 14 Feb
AUDUSD USDSGD
13:00 14 Feb 07:00 09 Feb
USDHKD USDKRW
16:00 28 Feb 06:00 14 Feb
AUDJPY CADJPY
15:00 14 Feb 16:00 14 Feb
22 02 06 10 14 18 22 02 06 10 14 18
Notes

5 Mar 2018
GBP pair volumes did not peak at 15:00 14 Feb Fig. 21

GBPUSD EURGBP
12:00 08 Feb 12:00 08 Feb
GBPJPY GBPAUD
12:00 09 Feb 16:00 06 Feb
GBPCAD GBPCHF
16:00 28 Feb 17:00 28 Feb
22 02 06 10 14 18 22 02 06 10 14 18
Notes

5 Mar 2018
Nordic pair volumes did not peak at 15:00 14 February Fig. 22

EURSEK EURNOK
10:00 09 Feb 10:00 09 Feb
USDSEK USDNOK
08:00 16 Feb 15:00 16 Feb
EURDKK USDDKK
13:00 22 Feb 10:00 28 Feb
22 02 06 10 14 18 22 02 06 10 14 18
Notes

5 Mar 2018
Volumes for USDZAR, USDILS and USDHUF did not peak at 15:00 14 February Fig. 23
USDZAR USDILS
14:00 26 Feb 13:00 27 Feb
USDHUF
13:00 16 Feb
22 02 06 10 14 18
Notes

5 Mar 2018
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 data@cls-services.com with any questions you have relating to the data used in the report.
CLS data available on Quandl

The detailed volume data underlying this report is made available on Quandl on an intraday, hourly, and daily basis. The
data is aggregated by trade instrument (spot, swap and outright forward) and currency pair and 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 is available on request by e-mailing data@cls-services.com

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FX trading

CLS Classification: Confidential Information

FX swaps and forwards up compared to last year Fig. 1

100 Jan 2018

CLS Classification: Public Information 2

FX swap activity trending up, spot and forwards flat Fig. 2

CLS Classification: Public Information 3

Monthly spot volumes

Growth in currency pairs such as EURUSD, GBPUSD and USDCAD Fig. 3

EURUSD 150 +31%

CLS Classification: Public Information 4

Spot volumes in major currency pairs declining Fig. 4

2015 2016 2017 2018 2015 2016 2017 2018

CLS Classification: Public Information 5

Figure 5 shows that EURSEK volumes are growing.

2015 2016 2017 2018

CLS Classification: Public Information 6

2015 2016 2017 2018 2015 2016 2017 2018

CLS Classification: Public Information 7

2015 2016 2017 2018 2015 2016 2017 2018

CLS Classification: Public Information 8

2015 2016 2017 2018 2015 2016 2017 2018

CLS Classification: Public Information 9

USDZAR USDILS USDHUF

Daily spot volumes

Daily spot volumes peaked on Tuesday, 06 February Fig. 10

800 818bn 06 Feb

Source: CLS Analytics

CLS Classification: Public Information 10

Volumes for USDJPY and AUDUSD peaked on Tuesday, 06 February Fig. 11

214bn 16 Feb 179bn 06 Feb

58bn 09 Feb 91bn 08 Feb

63bn 06 Feb 30bn 16 Feb

CLS Classification: Public Information 11

EURJPY, EURCHF and EURAUD volumes peaked on Tuesday, 06 February Fig. 12

CLS Classification: Public Information 12

CLS Classification: Public Information 13

Figure 14 shows daily spot volumes for GBP currency pairs.

No GBP pair volumes peaked on Tuesday, 06 February Fig. 14

91bn 08 Feb 26bn 08 Feb

16bn 09 Feb 3bn 08 Feb

1bn 28 Feb 2bn 28 Feb

CLS Classification: Public Information 14

Figure 15 shows daily spot volumes for nordic currency pairs.

Nordic pair volumes did not peak on Tuesday, 06 February Fig. 15

13bn 28 Feb 13bn 09 Feb

7bn 16 Feb 5bn 16 Feb

4bn 09 Feb 2bn 16 Feb

CLS Classification: Public Information 15

Volumes for USDZAR and USDILS peaked on Tuesday, 06 February Fig. 16

USDZAR USDILS USDHUF

12bn 06 Feb 3bn 06 Feb 0.15bn 16 Feb

CLS Classification: Public Information 16

Hourly spot volumes

Hourly spot volumes peaked at 15:00 14 February Fig. 17

100 101bn at 15:00 14 Feb

CLS Classification: Public Information 17

EURUSD and USDJPY volumes peaked at 15:00 14 Feb Fig. 18

15:00 14 Feb 15:00 14 Feb

13:00 09 Feb 12:00 08 Feb

13:00 14 Feb 08:00 16 Feb

CLS Classification: Public Information 18

EURUSD volumes peaked at 15:00 14 Feb Fig. 19

EURUSD EURJPY EURGBP