Chicago Mercantile Exchange Inc. (CME) today announced plans for new Eurodollars on GLOBEX® electronic platform functionality enhancements.
Scheduled for the Sunday, May 16 trading session (for the May 17 trade date), CME will extend Eurodollar spread functionality to include implied "butterfly" spread trades, a frequently used spread configuration for Eurodollar positions.
The new butterfly spread functionality will be similar to that which currently exists for GLOBEX Eurodollar calendar trades and will allow Eurodollars on GLOBEX users to efficiently establish and liquidate butterfly positions. The revised implied trading functionality will link contract liquidity in butterfly spread trades on GLOBEX with that in underlying markets. This will serve to improve prices and deepen the overall liquidity in associated contracts.
"CME's GLOBEX platform already enables implied calendar spreads for Eurodollars for the first five years of the yield curve. With this additional enhancement, we will offer market users a faster, more convenient way to trade CME's benchmark Eurodollar contract on GLOBEX," said CME Chairman Terry Duffy.
"The trading of Eurodollar futures on GLOBEX continues to build strong momentum," said CME CEO Craig Donohue. "The March, June and September Eurodollar contracts traded on GLOBEX during regular trading hours reached 29.06 percent, 27.24 percent, and 25.11 percent in those contract months during the first week of March. We believe this new spread trading functionality will further expand the growth of Eurodollar trading on GLOBEX."
CME's Eurodollar contract is the world's leading short term interest rate futures instrument and tracks movements in short term interest rates paid on U.S. dollars deposited in foreign banks. CME lists Eurodollars on GLOBEX with expirations extending out 10 years, giving short term interest rate market users the widest array of expirations from which to choose.
On Friday, March 5, CME set a new record for Eurodollar futures on GLOBEX with total volume of 405,855, more than three times the average daily volume of 133,602 posted in February. During the first week of March, Eurodollars on GLOBEX averaged 253,389 contracts per day, for 13.6 percent of total volume.
Friday was the second consecutive day of record Eurodollar volume on GLOBEX. Combined GLOBEX and trading floor Eurodollar futures also notched a new record of 2,177,217. Open interest - or the number of positions not closed out at the end of the trading session - in Eurodollar futures also set a new record, passing the six million level for the first time. Eurodollar put options also set a new open interest record on Friday of 1,320,979.