Eurodollar Exchange-Traded Spreads

This Microsoft Excel® spreadsheet presents Eurodollar market data​. The data includes ten years of quarterly contracts for outrights and exchange-traded three-month and six-month calendar spreads.

Quarterly contracts are color-coded by their pack colors. Best bid and ask, queue volume size, last, net change, and traded volume are displayed. The traded volume columns are heat-mapped. Contract symbols will automatically roll each quarter.

We recommended that this Excel spreadsheet be closed each night to avoid Excel memory issues.

Make sure to lower your Excel RealTimeData (RTD) throttle to 50 milliseconds. Learn how to do that here.

Requires CQG Integrated Client or CQG QTrader, data enablement for the Globex Eurodollar market, and Excel 2010 or more recent.

Download the Excel File ‌‍‍‍‍

 

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