CME set to offer eurodollar data via the web

The Chicago Mercantile Exchange (CME) plans to introduce a new market data application called E-px, which will display price and volume data for eurodollars.

The web-based display application, which will be available via cme.com in early April, is still in development. But it will feature the ‘packs’ and ‘bundles’ spreads associated with the eurodollar contract. The plan is to display a real-time daily log of the executed packs and bundles trades, calculated synthetic prices for the standard packs and bundles, prices for the 40 underlying quarterly eurodollar contracts and a daily log of all futures and options spread trades involving the eurodollar.

There are 40 quarterly contracts available at any time for eurodollar contracts. There are 10 packs of four, and a bundle is a standard grouping of consecutive packs.

Glen Madeja, director of information products management, said there are not many data vendors providing this information because the market is small and the displays must be specialised. "Large quote vendors usually won't create these customised screens for their customers, so even though we’re sending out the information, no-one is using it well," he said.

Users will be able to log onto cme.com to access the service, which is browser-based and updates in real time. Pricing has not yet been determined.

Meanwhile, the exchange is evaluating whether to commercially release ‘e-quivalents’, its online application that calculates spot foreign exchange equivalent prices and quantities, or to provide it for free.

E-quivalents displays the top five bids and offers in the book, allows market participants to see the best bid and offer in spot equivalent rates and shows corresponding sizes, market depth and the high, low and last trade. It currently covers the British pound, Canadian dollar, Australian dollar, euro, Swiss franc and Japanese yen, and the CME is about to add the Russian rouble.

The exchange is also planning to add prices from Eagle, its trading system for calendar spread trading on eurodollar contracts to its website in four to six weeks, Madeja said. "We believe that will enhance the liquidity in these eurodollar contracts, and make it easier for people to trade on that engine," he said. The prices are likely to be available at no cost.