Post-result: input volumes submitted to CLS

Input volumes1 submitted to CLS

CLS witnessed increased levels of FX trading activity during the announcement of US election results, with particular spikes in activity between 02:00 – 03:00 GMT when the results for key swing states were announced (input volumes were 7 times normal levels for that hour). This heightened activity continued following the confirmation of Republican candidate Donald Trump as president between 08:00 – 09:00 GMT, when input volumes were more than double normal levels for that hour. 

Significant spikes were registered across currency pairs between 02:00 and 03:00 GMT, with input volumes ten times normal levels for EUR/USD for that hour, followed by USD/JPY and GBP/USD (nine times and five times respectively).

The largest increase in currency pair activity was the US dollar traded against the Mexican peso (USD/MXN), 63 times normal levels for that hour.

A full breakdown can be found below.

Between 02:00-03:00 (GMT), CLS total input volumes increased significantly to 199,030 compared to a YTD average for that hour of 28,829 i.e. volumes were 6.9 times normal levels.

For the same period, the input volumes for the top five most traded currency pairs and the USD/MXN were as follows:

Currency pair

input volume for 02:00-03:00 (GMT)

YTD average input for 02:00-03:00 (GMT)

input as multiple of average

EUR/USD

33,675

3,226

10.4

USD/JPY

75,575

8,598

8.8

GBP/USD

6,732

1,436

4.7

AUD/USD

18,220

4,461

4.1

USD/CAD

8,177

1,049

7.8

USD/MXN

8,803

139

63.3

Between 08:00-09:00 (GMT), CLS total input volumes increased significantly to 150,487 compared to a YTD average for that hour of 66,983 i.e. volumes were 2.2 times normal levels.

For the same period, the input volumes for the top five most traded currency pairs and the USD/MXN were as follows:

 Currency pair

input volume for 08:00-09:00 (GMT)

YTD average input volume for 08:00-09:00 (GMT)

input as multiple of average

EUR/USD

36,867

14,985

2.5

USD/JPY

38,946

10,991

3.5

GBP/USD

8,797

6,233

1.4

AUD/USD

11,347

6,024

1.9

USD/CAD

6,578

3,054

2.2

USD/MXN

4,458

651

6.8

 

1 Input volumes are the number of instructions received by CLS for future settlement combining the settlement and aggregation services. 

CLS Data: CLS makes aggregated FX trade data available to subscribers through Quandl, a data platform for economic and financial data. Data is available for subscription in the form of three separate reports, showing activity by hour, day or month. The data reports contain trade volume in terms of both the number of trades and the total value in USD. The data is aggregated by trade instrument (spot, swap and outright forward) and currency pair. Visit the Quandl website to find out more.

 

 

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