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.

Futures & Options Trading

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through the CME Globex electronic trading platform and trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.

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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX, and COMEX.