In this report
- CVOL now available in real-time streaming and daily benchmarks
- Access and analyze futures data with Google Analytics Hub
- More than $3.7T loans now reference CME Term SOFR
- CME Term SOFR terms of use amended to align with ARRC best practice recommendations
- CME Group historical data available on alternative analytics platform
- Now live on CME DataMine
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CVOL now available in real-time streaming and daily benchmarks
CME Group Volatility Index (CVOL™) delivers the first ever cross-asset class family of implied volatility indices based on simple variance. Monitor risk expectations in real-time on 27 futures products and six aggregate markets with CVOL, a robust measure of 30-day implied volatility derived from the world's most actively traded options on futures.
How to access:
- Real-time accessibility is available through Market Data via Google Cloud Platform and CME Direct.
- A 15-minute delayed version of the Live Streaming CVOL is available via the CVOL homepage.
- Daily benchmarks are available on CME DataMine.
Use case:
On April 4, 2023, the February JOLTs Job Openings and Factory Orders statistics were released. Markets reacted to the weaker-than-expected numbers. Options markets continue to focus on how new economic data will inform the Federal Reserve’s next interest rate decisions, relative to their current tightening monetary policy.
Source: CME Group Data as of April 5, 2023
Access and analyze futures data with Google Analytics Hub
Launched in Q4 2022, you can now access historical market depth with bids and offers 10 levels deep for futures and five levels deep for options – across all four CME Group DCMs (CME, CBOT, NYMEX, COMEX).
Google Analytics Hub is a cloud-based solution that allows users to easily consume, share, and analyze market data in a streamlined cloud workflow without the burden of downloading, warehousing, transferring, or pre-processing data.
More than $3.7T loans now reference CME Term SOFR
CME Term SOFR is now a primary reference in business loan activities, equating to a total notional value of more than $3.7 trillion.
Recent records:
- 8,500+ CME Term SOFR licenses issued
- 2,400+ firms license CME Term SOFR
- $1.04T in OTC derivative hedges
CME Term SOFR is already being used in loans, syndications, securitizations, and OTC derivative hedges. The importance of CME Term SOFR is set to increase as the 1-month, 3-month, 6-month, and 12-month maturities of USD LIBOR will cease publication on June 30.
Refinitiv Deals Screener Data as of April 20, 2023
CME Term SOFR terms of use amended to align with ARRC best practice recommendations
To align with the ARRC’s recently updated Term SOFR Scope of Use Recommendations, CME Group has made amendments to Appendix A, of Schedule 7, of the Information License Agreement as per the announcement published on the 25th of April.
As outlined in the announcement terms of Appendix A to Schedule 7, of the Information License Agreement have been updated with such changes taking effect from July 25, 2023 (the “Effective Date”).
Updated CME Term SOFR Reference Rates FAQs have published.
CME Group historical data available on alternative analytics platform
Our market data has been optimized for use with Deutsche Börse A7 analytics engine, bringing together high-quality derivatives benchmarks with tailored trading strategies for profitability and risk management.
This robust combination of data and analytics, enables a broader community of investors to identify actionable insights with greater speed and less complexity.
Complementary to CME Group market data, users of A7 can simultaneously access derivatives market data from Eurex, Xetra and EEX to trade more efficiently or to develop and test execution algorithms more easily.
Now live on CME DataMine
BrokerTec EGB and EU Repo Trades Data
BrokerTec European Government Bond (EGB) daily tick and historical data is sourced from the BrokerTec electronic fixed income platform. BrokerTec EGB data offers reliable pricing across key European markets.
BrokerTec European Repo offers end of day Repo VWAP (Volume-weighted average price) and Trade data across a full range of BrokerTec European Repo products, including Specifics, General Collateral, and Sterling Delivery by Value (DBV).
EBS Ultra Binary Data
EBS Ultra Binary Data is now live on CME DataMine. EBS Ultra Binary Spot FX, NDF Daily Tick Files, and Historical Data are sourced from the EBS primary market central limit order book, providing full order and trade price information.
Explore more on CME DataMine:
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All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
