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Foreign Exchange

Hurricane Sandy and lack of volatility hit CME FX volumes in October

FX volumes at CME Group suffered in October amid reduced volatility in the currency market and as the effects of Hurricane Sandy took its toll on activity at the US-based venue.

The average daily volume (ADV) of FX contracts changing hands on the CME Group exchange fell by 23% year-on-year in October to 709,000 contracts. That translated to a notional ADV of $89.6 billion last month, down 30% on September’s figure of $128.9 billion.

Open interest on the CME Group’s exchange rose to a record $217 billion last month, however, rising 7 per cent compared to October 2011.

The firm believes the rise in open interest, the total number of outstanding contracts that are held by investors at the end of each day, indicates the flow of money into the exchange remains robust.

“October has been difficult for all FX venues with the reduction in FX volatility, political uncertainly in the US and Europe, as well as the negative impact on global FX trading volumes from Hurricane Sandy,” says company spokesman Allan Schoenberg.

“This is reflected in our decrease in daily trading volumes, and we expect to see the other FX platforms impacted similarly.”

He says year to date, CME Group continues to outperform the over-the-counter FX spot and options market, as reflected by the rise in open interest at the exchange.

“This speaks to both success in building and diversifying our participant base and the market's increasing adoption of centrally cleared products.”

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