Libor 1 month activity

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Sibelius
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Libor 1 month activity

Post by Sibelius » Fri Jun 11, 2010 3:26 am

Hi, I'm using Interactive Brokers as my market data feeder. I get 1 month Libor (EM) data from GLOBEX but I'm wondering why there is almost no activity during the day. Eurodollar 3 months (GE) for example is trading actively the whole day but there is no volume and no trades showing for EM. I wonder what is the problem.

sluggo
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Post by sluggo » Fri Jun 11, 2010 7:34 am

Perhaps your data feed is correct. Perhaps market participants simply prefer to trade ED futures rather than EM futures, for some reason, in the time frame you are investigating.

In the daily time frame, for example, ED certainly does have higher volume than EM; charts below.
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Sibelius
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Post by Sibelius » Fri Jun 11, 2010 8:41 am

Thanks Sluggo for your comment. You are probably right but it just seems a bit strange and interesting that 1 month Libor which per se is a relevant instrument would have such a low daily volume.

Kiwi
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Post by Kiwi » Fri Jun 11, 2010 7:39 pm

Relevance is in the eye of the market and ED is an enormously popular contract. I have no idea why libor isn't (unless the main trading doesn't take place at the CME ... )

I was downloading some data with TWS so had a look at the chart. You made the wrong choice of instrument - look at the globex only charts and you'll find that thinness is missing and you have a much more tradable looking instrument. GLBM0

I have a website I always go to for a quick glance at what contracts are trading in what volume in the US ... you may find it useful

http://www.mrci.com/ohlc/ohlc-all.php


There may be some hints about libor popularity in:
http://www.theessentialsoftrading.com/B ... hats-that/

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