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