STIRs Outrights and Three-Month Calendar Spreads

This Microsoft Excel® dashboard displays both outrights and individual three-month calendar spreads and their individual legs for tracking the rolls. The markets covered are the Globex-traded Eurodollar together with the ICE-traded Euribor and Short Sterling markets. All of the active deliveries for each individual symbol are displayed on individual tabs. The volume column highlights, in gold, the contract that has the largest twelve-day moving average of the volume 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.


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