CME and Globex Volume Dashboard

This Microsoft Excel® dashboard displays key market information for contracts traded on the CME Exchange and the Globex platform. The markets are grouped by these products:

  • Equity Indices
  • Fixed Income
  • Metals
  • Energy
  • Agriculture​
  • Forex

Two columns highlight important market data. The Volume Ratio (Vol Ratio) column lists today’s volume divided by yesterday’s moving average of the volume. A ratio greater than 100% indicates today’s volume is greater than yesterday’s moving average of the volume, which indicates higher than normal activity.

The second column is the Net Change Average True Range ratio (NC/ATR). Some markets are typically more volatile than other markets. This column gives a more accurate portrayal of today’s volatility because dividing the nominal net change by the average true range study normalizes the net change.

On the MainDisplay tab, the Vol Ratio column is heat mapped. You can easily spot the most actively traded markets because they are the brightest green. The entire NC/ATR column is also heat mapped to identify the markets making the largest move up (green) or down (red). On the MainDisplay (2) tab, the heat mapping is applied within each group.

The two sets of histogram charts display the current readings of the NC/ATR column.

For each group, a countdown timer displays the remaining time before the close of the day session.

The symbols tab has symbols that automatically roll for the next active contract. You can enter in a specific expiration. On the symbols tab, you can also set the volume moving average look-back period and the average true range look-back period.

Download the Excel File ‌‍‍‍‍

Requires CQG Integrated Client or CQG QTrader, data enablements for all symbols used in the spreadsheet, and Excel 2010 or higher.

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