Q3 2014 Liquidity Monitor

Quarterly Update on Product Liquidity at CME Group

Each quarter CME Group Research looks at the liquidity of its flagship futures and options products. The Liquidity Monitor focuses on the same products each time:  two key interest rate contracts, two FX contracts, a benchmark equity index and benchmark energy contract. Specifically, these contracts are:

  • Eurodollars
  • 10-Year T-Note
  • E-mini S&P 500
  • Euro
  • Japanese Yen
  • WTI Light Sweet Crude Oil

Report Format
The report uses a template that:

  • Combines background information and explanations as well as comparisons to the previous quarter
  • Includes historical price graphs on key markets
  • Offers detailed charts of Market Width in USD and Market Depth in Contracts (Top-of-the-Book) for the same six products

There is also an explanation of how to analyze liquidity, a caveat, and a concluding note.