Three Month Sonia (ICE) Forward Curves Dashboard

This Microsoft Excel® macro enabled dashboard pulls in the Three Month SONIA Index Futures Contract which is a cash settled future based on the interest rate on a three month sterling deposit.

The Dashboard enables the user to enter in the symbol for the first contract. Use: SO3+Month+2 digit year, such as SO3M2323.

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There are three forward curve charts. The first one displays the monthly contracts forward curve, the second display is the user selected calendar spreads forward curve, and the third chart displays the user selected calendar spreads forward curve.

Each chart displays today's forward curve, yesterday's forward curve, the forward curve 5-days ago, and the forward curve twenty days ago.

In addition, there is difference histogram chart showing each forward curves difference from today's Forward Curve. There is the current best bid price, best ask price and last trade directly above the each forward curves data point.

The two calendar spread forward curves have a drop down menu so the user can select the calendar spreads to view.

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If the current data prices exceeds the maximum or minimum price scale (Y-axes) the button "Rescale" will run a macro that reviews the current price data and sets the chart price axes to the correct scale.

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The left-hand side of the dashboard displays market data for the front contract and the next eleven contracts.

Downloads

Disclaimer

Trading and investment carry a high level of risk, and CQG, Inc. does not make any recommendations for buying or selling any financial instruments. We offer educational information on ways to use our sophisticated CQG trading tools, but it is up to our customers and other readers to make their own trading and investment decisions or to consult with a registered investment advisor. The opinions expressed here are solely those of the author and do not reflect the opinions of CQG, Inc. or its affiliates.