Excel Dashboard of the Eurodollar Three-Month Calendar Spread Roll

This Microsoft Excel® dashboard displays all of the Globex-traded Eurodollar three-month calendar contracts. The volume column includes a red highlight if today's traded volume exceeds the previous session's traded volume. 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 in a calendar date and pull a moving average value of the volume from that date. The open interest and changes in open interest for the individual legs are displayed. Finally, if the thirty-minute volume exceeds yesterday's thirty-minute volume for the same time, then the volume is highlighted in red. Other short-term interest rate roll dashboards are available by contacting the author.

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

Requirements: CQG Integrated Client, data enablements for all symbols displayed in this spreadsheet, and Excel 2010 or more recent.

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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.