ICE Euribor Three-Month Calendar Spreads Roll Dashboard

This Microsoft Excel® dashboard displays individual Euribor 3-month calendar spreads and their individual legs for tracking the rolls. All of the active deliveries for each individual symbol are displayed in a single dashboard detailing market data. The volume column highlights, in gold, the contract that has the largest twelve-day moving average. You can change the look-back period for the moving average. You can also enter a calendar date and pull a moving average value of the volume from that date. The top five contracts by open interest are highlighted in gold. If the thirty-minute volume exceeds yesterday's thirty-minute volume for the same time, then the volume is highlighted in red.

More STIRs Roll Dashboards ‌‍‍‍‍

Requires CQG Integrated Client or CQG QTrader and Excel 2010 or more recent.

Download the Excel File ‌‍‍‍‍

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