Forward Curve

May 09, 2022

Monitoring market data in Excel may be enhanced by including Forward Curve charts. However, there are issues with Excel charting and the purpose of this post is to offer solutions using Excel functions.

For example, if the “Last Trade” for... more

Mar 23, 2022

I have always believed that every active hedge strategy needs to answer the following three-part question:

Percentage hedged Duration of the hedge Derivative instrument(s) used to hedge

Percentage hedged “seems” fairly straightforward.... more

Jun 12, 2019

This Microsoft Excel® dashboard pulls in the Short Sterling market data traded on the ICE platform. There are three forward curve charts. The first chart displays the quarterly contracts forward curves, the second chart displays the one-year... more

Mar 21, 2019

This Microsoft Excel® dashboard pulls in the Euribor market data traded on the ICE platform.

There are three forward curve charts. The first one displays the quarterly contracts forward curves, the second display is the one-year... more

Mar 18, 2019

This Microsoft Excel® dashboard pulls in the Eurodollar market data traded on the CME Globex platform.

There are three forward curve charts. The first one displays the quarterly contracts forward curves, the second display is... more

Oct 06, 2017

This Microsoft Excel® dashboard has three tabs. The first tab displays today’s market quotes, volume, and open interest data. If the last price is matching the open price, then the open price is highlighted blue. If the last price is... more

Sep 21, 2017

These two Microsoft Excel® spreadsheets present Globex crude oil market data and forward curves, both current and historical. Two dashboards are available: The first the data includes outrights and exchange-traded calendar spreads using these... more

Jul 12, 2016

This Microsoft Excel® dashboard displays market data for Short Sterling calendar spreads traded on the ICE platform. This monitor uses a matrix-style format. The outrights are displayed along the top row and at the start of each row. The best bid... more

Jul 12, 2016

This Microsoft Excel® dashboard displays market data for Short Sterling calendar spreads traded on the ICE platform. This monitor uses a matrix-style format. The outrights are displayed along the top row and at the start of each row. The best bid... more

Sep 22, 2015

This Microsoft Excel® spreadsheet uses the CQG Toolkit to pull in Brent Crude Oil market data traded on the ICE exchange.

The forward curves display today's data. If the last price is outside of the best bid and best ask, then the mid-... more