April 4, 2005
Lead Comments
I am back in the office and I would like to thank Jim Kharouf for minding the newsletter while I was away. I appreciated the fine job he did and the kind comments he offered about how tough a job producing this newsletter is. It is a tough job, which is why the vacation was so much appreciated. I am rested, renewed and ready for what comes next.
John
Lead Stories
CME Establishes New Single-Day Volume Records
Exchange Sets New Overall, CME® Globex®, CME Eurodollar, Total Options and E-Mini TM Russell 1000® Volume Records on Friday, April 1
CHICAGO, April 4, 2005 – CME, the largest U.S. futures exchange, today announced that on Friday, April 1, it achieved a new single-day trading record of 6.7 million contracts, excluding its non-traditional TRAKRS TM products, surpassing the previous record of 6.5 million set on May 7, 2004. In addition, CME Globex, the exchange’s electronic trading platform that operates virtually 24 hours every trading day, surpassed four million contracts traded in a single day for the first time, reaching 4.4 million. The previous single-day record for electronic trading was 3.8 million contracts set on March 16, 2005. CME Eurodollar interest rate contracts traded electronically surpassed 2.4 million contracts, also a new single-day record, surpassing the previous record of 2.1 million contracts set on March 23, 2005. Total exchange options on futures contracts reached an all-time high with 1.8 million contracts traded, driven by record CME Eurodollar options volume, surpassing the previous record of 1.6 million contracts set on March 23, 2005 CME Eurodollar options volume reached a new record of 1.7 million contracts traded exceeding the previous record of 1.5 million contracts March 23, 2005. The exchange also set a new record in CME E-mini Russell 1000 equity index futures trading 5,649 contracts, breaking the previous record of 4,894 set on March 11, 2005.
Deutsche Boerse chief Werner Seifert to step down in 2006
Werner Seifert, the controversial chief of German stock market operator Deutsche Boerse, has promised rebel shareholders that he will step down when his contract runs out in 2006, the weekly newsmagazine Focus reported.
OneChicago Reports 104% Increase for March 2005 Volume
http://www.onechicago.com/060000_press_news/press_news_2005/04012005.html
http://www.onechicago.com/060000_press_news/press_news_2005/images/Mar05VolumeReport.pdf
OneChicago To List 24 New Contracts April 1
http://www.onechicago.com/060000_press_news/press_news_2005/03302005.html
C-Corp damps speculation over sale
By Jeremy Grant in
The Clearing Corporation, the Chicago-based clearing house used by derivatives exchange Eurex for its
http://news.ft.com/cms/s/113be632-a51a-11d9-8616-00000e2511c8.html
**** Online FT subscription required for complete story and no, Jeremy Grant has not been banished to
GLOBAL INVESTING: Changing landscape of the derivatives world
Bond market vigilantes started morphing into a more virulent strain that sought out vulnerable companies and used credit...
http://news.ft.com/cms/s/99b57c5a-a4a5-11d9-9778-00000e2511c8.html
PRESSURED PEERS
April 4, 2005 -- IT will perhaps prove helpful at the start of this column to remind ourselves that during those the first few hours after the attacks of 9/11, the glue that held this nation together pretty much consisted of the courage and grace under pressure of just one man: New York Mayor Rudy Giuliani. So, for that alone he warrants our praise and admiration, and a place in the pantheon of American heroes. But with that heightened visibility as a national leader comes a heightened obligation to live one's life in a way that we'd want the rest of the nation to admire and emulate. And that means there is one thing you absolutely, categorically do not do — at least if you happen to be a former federal prosecutor who first achieved national stature by pursuing some of America's nastiest and most vicious Mafiosi and Wall Street's slipperiest white-collar swindlers and cheats. Specifically, you do not let yourself become entangled in the penny stock antics of a white-collar felon now awaiting sentencing on a stock swindle linked to La Cosa Nosta's
http://www.nypost.com/business/42136.htm
**** Due diligence is tougher than many think.
NASDAQ to Observe a Moment of Silence in Memory of Pope John Paul II
http://www.nasdaq.com/newsroom/news/pr2005/ne_section05_039.stm
NYSE Statement on the Passing of Pope John Paul II
The NYSE community joins all Catholics and others throughout the world in mourning the passing of Pope John Paul II. Pope John Paul II was a great man of faith and vision and an outstanding leader of the Catholic Church.
http://www.nyse.com/content/articles/1112356343004.html
SuperDerivatives and CME Join Forces to Provide Transparency in Exchange-Traded FX Options
SuperDerivatives®, whose SD-FX option pricing system is widely regarded as the foreign exchange market's benchmark, and CME, the largest
http://biz.yahoo.com/prnews/050404/cgm020.html?.v=4
Banking giant HSBC refuses to comment on Morgan Stanley bid talk
HSBC refused to comment on reports that the global banking giant was mulling a bid of 40 billion pounds for troubled
Morgan Stanley CEO Under Fire
Eight former Morgan Stanley executives on Monday stepped up their campaign to oust Chief Executive Philip Purcell, telling employees that management will try to intimidate them into supporting the current leadership of the securities firm.
http://news.yahoo.com/news?tmpl=story&u=/nm/20050404/bs_nm/financial_morganstanley_dc_1
Letter from Purcell to Morgan Stanley employees
The following is a letter sent by Phil Purcell, Morgan Stanley chairman and chief executive, to employees on April 1.
http://news.yahoo.com/news?tmpl=story&u=/ft/20050404/bs_ft/ff8f54cca51511d9861600000e2511c8
Morgan Stanley Memo From Purcell Draws New Attack by Ex-Leaders
http://www.bloomberg.com/apps/news?pid=10000103&sid=an3BBLbtrJ5E
NYMEX to Transition e-miNYsm Futures Contracts to NYMEX ClearPortsm
NEW YORK, N.Y., April 1, 2005 — The New York Mercantile Exchange, Inc., will transition its e-miNYsm crude oil and natural gas futures contracts to the NYMEX ClearPortsm trading platform as the NYMEX miNYsm energy futures contracts on Monday, June 20, 2005, at 3:15 PM New York time.
These contracts will no longer be available for trading on the Chicago Mercantile Exchange's GLOBEX® trading platform after the close of the Monday, June 20, 2005, trading session, which ends at 2:30 PM
http://www.nymex.com/jsp/news/press_releas.jsp?id=pr20050401a
***** This information was previously announced in their latest SEC filing.
Oil to trade on bourse
As a strategic move in a competition between
http://www.bbj.hu/?module=displaystory&story_id=246251&format=html
Tudor Sets Up Global Energy Trading Team
Tudor Investments , the USD10 billion New York-based hedge fund founded by Paul Tudor Jones , is planning to launch a global energy trading operation with eight staff on the outskirts of
http://www.globalmoneymanagement.com/default.asp?page=1&SID=493059&ISS=13792&pressbox=1
Goldman Sachs predicts oil price superspike
Oil markets had entered a "superspike" period that could see 1970s-style price surges as high as $105 a barrel, investment bank Goldman Sachs said in a research report last week.
http://www.businessreport.co.za/index.php?fSectionId=564&fArticleId=2468469
Popularity of alternative investments is spreading
During the past few years, while the stock market has been sinking or stagnant, alternative funds have earned money.
Once considered options only for ultra-high-net-worth individuals with investable assets in excess of $5 million, these alternative investment vehicles, which include hedge funds and commodities, have moved downstream and now appeal to the moderately affluent -- individuals with $1 million to $5 million in investable assets.
http://www.bizjournals.com/twincities/stories/2005/04/04/focus3.html
CBOE MARCH VOLUME: 37.8 MILLION, UP 15% OVER 2004; CBOE Futures Exchange Marks One-Year Anniversary With Record Volume
http://www.cboe.com/AboutCBOE/ShowDocument.aspx?DIR=ACNews&FILE=20050401.doc
ISE Reports Monthly Volume for March 2005
The International Securities Exchange, Inc. , the world's largest equity options exchange, today reported equity options trading volume for March 2005. Average daily trading volume in equity options contracts increased 23.5% to 1.7 million contracts traded as compared to 1.4 million contracts traded in the same period in the prior year.
http://biz.yahoo.com/bw/050404/45639.html?.v=1
A Mixed Bag for SunGard Investors
The good news: Shareholders will make money from the software concern going private. Trouble is, they may miss out on making more
http://uk.biz.yahoo.com/050404/244/ffmkz.html
Panel to Discuss "Electronic Trading and the DNA of a Trader" at the
The panelists for April's meeting will examine the cognitive, emotional, visual, spatial, pattern forming and intuitive skills that explain the makeup of a successful electronic trader.
http://www.emediawire.com/releases/2005/4/emw224626.htm
Merc average fees fall; shares suffer decline; Interest-rate deals dominate quarter
Bloomberg News
The Chicago Mercantile Exchange said Friday that its average fee per trade fell last quarter on record buying and selling of interest-rate contracts, its lowest-fee products.
Shares of the Merc slid $10.53, or 5.4 percent, to $183.50, on the New York Stock Exchange. But before rebounding, they dropped as much as 7 percent, to $180.79, their lowest level since November.
http://www.chicagotribune.com/business/chi-0504020157apr02,1,198591.story?coll=chi-business-hed
CME shares slide on transaction fee worries
By Ros Krasny
CHICAGO, April 1 (Reuters) - Shares in Chicago Mercantile Exchange (CME.N: Quote, Profile, Research) tumbled in heavy trading on Friday after the largest U.S. exchange reported lower transaction fees for the three months through February. The transaction figures, a key measurement of CME's operating margins, overshadowed others showing the exchange had record high turnover in March.
http://www.reuters.com/financeNewsArticle.jhtml?type=bondsNews&storyID=8066003
***** Jeez, I leave town for a week and CME shares tumble. Amazing that on the day the CME has their largest daily volume ever, Eurodollars trade their greatest percentage electronically and more options are traded in the pits than any day in the history of the CME, the bears were so focused on the past rather than the prospects for the future. See John’s Comments for more color from the CME on the growth in Eurodollar volume.
Lex: Futures exchanges
Pity the Chicago Board of Trade's real estate division. The art deco structure's vast trading halls are emptying fast as pit traders in financial futures switch to electronic trading. But while the CBOT agonises over its soon-to-be vacant space, it can scarcely complain. With its derivatives business humming, it is planning an initial public offering hoping to mimic the performance of its cousin, the Chicago Mercantile Exchange.
http://news.ft.com/cms/s/b7de3bc2-a45a-11d9-9778-00000e2511c8.html
***** Online FT subscription required.
DTCC Calls Euromoney Article on Its Stock Borrow Program and Naked Short Selling ''Sloppy Journalism''
The Depository Trust & Clearing Corporation responded today to an article appearing in the April edition of Euromoney magazine on naked short selling, saying the article "fails to reflect any true understanding of the complicated securities clearing and settlement programs it discusses, fails to report that most of the litigations mentioned in the article have, to date, been dismissed or
http://biz.yahoo.com/bw/050331/315838.html?.v=1
Environmental Trading News
Mercury rules, study at odds
http://www.detnews.com/2005/health/0504/04/A10-125770.htm
Delay in
http://news.yahoo.com/news?tmpl=story&u=/cpress/20050403/ca_pr_on_na/kyoto_delays_1
Global Warming, Green HouseGases, Emission Trading made Simple
Green Energy Resources announced today its developing software and a consulting package for its UTCS Environmental Certification System. UTCS is a guide for suburban and urban communities to participate in the new world of emissions trading, carbon sequestration and energy credits.
http://biz.yahoo.com/bw/050330/305432.html?.v=1
$3.45 Billion Dollars of `Green' Energy
Green Energy Resources the
http://biz.yahoo.com/bw/050401/15241.html?.v=1
Exchange News
CBOT March 30, 2005 Treasury Conversion Factors
The CBOT U.S. Treasury Bond and Note futures complex have been revised to include conversion factors for the following government security that was auctioned on March 30 by the U.S. Treasury Department.
http://www.cbot.com/cbot/pub/cont_detail/0,3206,980+20356,00.html
CBOT April 1 Bund, Bobl, and Schatz Conversion Factors
http://www.cbot.com/cbot/pub/cont_detail/0,3206,1027+18807,00.html
CBOT Strike Price Notice, April 04, 2005
http://www.cbot.com/cbot/pub/cont_detail/0,3206,1032+27417,00.html
KCBT Volume Second Largest Ever for March
http://www.kcbt.com/news_2.asp?id=260&home=1
NYSE Acknowledges Nearly 600 Listed Companies Utilizing Web-based Corporate Compliance Tool
Corporate Secretaries ring The Opening BellSM to mark expansion of eGovDirect.comSM on April 4, 2005.
http://www.nyse.com/events/1112356343800.html
Bourse directors to meet SECP chief today RECORDER REPORTKARACHI (April 01 2005): The board of directors of all the
KARACHI (April 01 2005): The board of directors of all the three bourses will meet Securities and Exchange Commission of Pakistan (SECP) Chairman Dr Tariq Hassan on Friday to streamline the procedure pertaining to futures market.
http://www.brecorder.com/index.php?id=223006&currPageNo=1&query=&search=&term=&supDate=
March 2005 Statistics for the
http://www.bostonoptions.com/pdf/MarchMonthlyPressRelease.pdf
S&P/TSX Canadian Bond Index launched
Index cover 901 corporate, government bond issues
http://www.investmentexecutive.com/client/en/News/DetailNews.asp?Id=28312&IdSection=15&cat=15
Stock index options contracts whose last trading day approaches
http://www.ose.or.jp/e/news/0504/050404a.html
Metals exchange for
http://www.mineweb.net/columns/african_renaissance/429796.htm
Regulatory News
The SEC News Digest
The SEC News Digest provides daily information on recent Commission actions, including enforcement proceedings, rule filings, policy statements, and upcoming Commission meetings.
http://www.sec.gov/news/digest/dig040105.txt
CFTC and the CESR Communiqué Requests Comments on a Common Work Program to Facilitate Trans-Atlantic Derivatives Business
http://www.cftc.gov/opa/press05/opa5064-05.htm
FEDERAL COURT ISSUES INTERIM ORDER BARRING FOREIGN FUND, AN INTERNET CURRENCY TRADING FIRM, FROM DEFRAUDING CUSTOMERS, AND ORDERS THE APPOINTMENT OF A TEMPORARY RECEIVER
Court’s Order Continues Asset Freeze against Foreign Fund and Bars the Sale of Illegal Futures Contracts
WASHINGTON, D.C. – The U.S. Commodity Futures Trading Commission (CFTC) announced today that on March 8, 2005, the Honorable Robert L. Echols, Chief Judge of the U.S. District Court for the Middle District of Tennessee, issued an order of preliminary injunction against defendant Foreign Fund, a/k/a First Bank, an Internet entity that directed customers to send funds to bank accounts in Nashville, Tennessee and Mountain View, California.
http://www.cftc.gov/opa/enf05/opa5063-05.htm
Eisenberg named SEC’s acting director of division of investment management
Replacing previous director, Paul Roye
http://www.investmentexecutive.com/client/en/News/DetailNews.asp?Id=28311&IdSection=8&cat=8
Market integrity rule amendments approved
Deal with manipulative and deceptive trading; take effect immediately
http://www.investmentexecutive.com/client/en/News/DetailNews.asp?Id=28309&IdSection=8&cat=8
Fund companies to get back $7.2 million from market-timing settlements
IDA says money, to be reimbursed to unitholders, is from trailer fees paid to brokerage firms by fund companies
http://www.investmentexecutive.com/client/en/News/DetailNews.asp?Id=28299&IdSection=8&cat=8
Speech – Donaldson on Strengthening Governance and Addressing Conflicts of Interest
http://www.garp.com/risknews/newsfeed.asp?Category=6&MyFile=2005-04-04-10542.html
NASD Bars Brokerage, Owner For Manipulation
The NASD has expelled brokerage firm LH Ross and permanently barred its owner and president, Franklyn Michelin , from the industry to settle charges of manipulation, fraud, excessive markups, sales of unregistered securities, books and records violations and supervisory violations in two pending enforcement actions against the firm.
http://www.compliancereporter.com/default.asp?page=1&SID=492718&ISS=13807&pressbox=1
Brokerage tied to a top figure in mob case
Management at newly closed securities brokerage LH Ross has included a Parkland resident whom the Broward Sheriff's Office calls a leader of a
http://www.bizjournals.com/southflorida/stories/2005/04/04/story1.html
Boca brokerage drops appeal in fraud case
A
http://www.bocanews.com/index.php?src=news&category=Local%20News&prid=11278
SEC Admits Problems In Accounting But Fails To Curb, Says Industry
The fund industry may have scored one win now that the Securities and Exchange Commission will require intermediaries to provide information on omnibus accounts, but officials say the Commission stopped short in curbing the problems associated with the practice.
http://www.institutionalinvestor.com/default.asp?page=1&SID=492954&ISS=13937&type=14
Kirlin faces NASD sanctions
Kirlin Securities Inc. said Thursday that regulators are considering bringing disciplinary charges against it and some of its personnel related to trading in shares of the brokerage's owner, Kirlin Holding Corp., in March and April of 2002.
http://www.newsday.com/business/ny-kirl4202836apr04,0,5038073.story?coll=ny-business-leadheadlines
Managed Futures - Managed Funds
Will Hedge Funds Get Squeezed?
They don't appear to be headed for a credit crunch, but the SEC is looking to impose tighter regulation
Since the "bubble" years leading up to 2000, the use of leverage by hedge funds -- borrowing money and employing derivatives to boost returns -- has subsided. But the industry itself has seen robust growth, with both the number of funds and total assets under management having increased dramatically.
http://www.businessweek.com/bwdaily/dnflash/apr2005/nf2005044_1038_db016.htm
How to Play the Hedge Fund Craze
Feeling left out of Wall Street's recent embrace of hedge funds? Take heart: A number of mutual funds use equally sophisticated strategies that may even be better than the real thing -- at least for the average investor.
USD 50 million distribution in
The CFTC And the SEC have announced a USD 50 million distribution to former customers allegedly defrauded by the Princeton Companies.
The United States Commodity Futures Trading Commission (CFTC) and United States Securities and Exchange Commission (SEC) announced that a court-appointed receiver is in the process of distributing over USD 50 million as part of an interim distribution to former customers of Princeton Economics International, Ltd. and Princeton Global Management, Ltd. (the Princeton Companies).
Market Risk - Hedge Fund Risk Increasing in
http://www.garp.com/risknews/newsfeed.asp?Category=6&MyFile=2005-04-04-10543.html
Portus principals ordered to testify
Apr-1-2005 - An
http://www.marhedge.com/news/Cover.Hedge.asp?s=HedgeH-2005-03-31-13-03-39p1.htm
Mercer to hedge funds: Registration is good
Apr-1-2005 - Mandatory registration will enhance hedge funds' legitimacy among investors, says Mercer Investment Consulting Group
http://www.marhedge.com/news/Cover.Strat.asp?s=StratH-2005-04-01-11-08-56p1.htm
‘Over 75
IPE.com 4/Apr/05:
http://www.ipe.com/article_default.asp?article=18514
You don't need wealth to invest in hedge funds
THE RECORD (
http://www.contracostatimes.com/mld/cctimes/business/11305893.htm
US hedge funds' gains meager in 1st quarter
Hedge funds made little if any money in the first three months of the year, extending a period of low returns at these high-cost investment funds that have become a ''must have" addition to many portfolios.
Reports
Bond Talk Today's Events
http://www.bondtalk.com/global.cfm?S=todaysevents
USDA Today
http://www.usda.gov/nass/PUBS/TODAYRPT/TODAY.HTM
Miscellaneous News
Oil Strikes New Record, OPEC Set to Talk Output Rise
MELBOURNE (Reuters) - Oil prices raced to a new all-time peak on Monday, climbing toward $58 a barrel as OPEC signaled it would discuss a second output rise to try to quell the market's relentless rally.
Options Forum: Risk in Credit Spreads
Directorate change
Patsystems plc - board change
Patsystems is pleased to announce the appointment of Arun Aggarwal as a non-executive director. The appointment will be effective from 20 April 2005, following the Annual General Meeting.
Efutures.com and Saxo Bank unveil online FX trading platform
Efutures.com of
http://www.cbronline.com/article_news.asp?guid=4F3EA6F4-4060-45CF-B8DF-73897E5E167A
Knight Trading Group to Acquire Direct Trading Institutional, A Direct Market Access Firm
Knight Trading Group, Inc. today announced that it has agreed to acquire the business of Direct Trading Institutional, Inc., a privately held firm specializing in providing institutions with direct access trading through an advanced electronic platform.
http://biz.yahoo.com/prnews/050404/nym035.html?.v=5
Avoid brokerage stocks, BCA says
Solid profits in sector have failed to spark positive reaction
http://www.investmentexecutive.com/client/en/News/DetailNews.asp?Id=28259&IdSection=137&cat=137
Financial Services Firms Pioneer Compliant Storage
In the third part of our series on compliance and storage issues, we look at the financial services industry's experience with electronic records and what that could mean for other industries.
http://www.enterprisestorageforum.com/continuity/features/article.php/3494886
E*TRADE FINANCIAL Corporation Introduces E*TRADE Complete(TM)
E*TRADE FINANCIAL Corporation today announced E*TRADE Complete, an integrated online financial solution that allows customers to fully optimize their entire financial portfolio by maximizing their use of day-to-day cash and credit while taking into account long-term investments.
http://biz.yahoo.com/cnw/050404/ny_e_trade_introduces.html?.v=1
Fortis Bank strengthens its Commodity Derivatives team
http://uk.biz.yahoo.com/050404/290/ffmt7.html
Cargill Loses Suit, Ordered To Pay $7.6 Million
Burley, Idaho (AP) Acme Dairy owners have won $7.6 million in damages in a Fifth District Court lawsuit. Randy Robinson, Robert Whiteley and their partners sued Cargill Animal Nutrition, claiming the company lied about the ingredients in its cattle feed.
http://wcco.com/localnews/local_story_091183849.html
BULL'S EYE
BULL'S EYE April 3, 2005 -- Ameritrade CEO Joe Moglia's spent 16 years as a Division I football coach, and if that wasn't rough enough, another 17 years at Merrill Lynch as a top institutional sales person. Now he's calling on both parts of his life in his new book "Coach Yourself to Success."
http://www.nypost.com/business/42020.htm
Industry Associations Create Joint Working Groups To Address MiFID Compliance
Four major industry associations – FIX Protocol Ltd, ISITC Europe, the Reference Data User Group (RDUG) and SIIA/FISD – today announced their creation of a Joint Working Group to address the compliance requirements created by the European Union (EU) Markets in Financial Instruments Directive (MiFID).
http://www.exchange-handbook.co.uk/news_story.cfm?id=52180
John's Comments
FOWeek Headlines Issue 1013 04-Apr-2005
• Eurex US files revised
• Interview with TT's Steve Borsand http://www.fow.com/articles/foweek_article.asp?storyCode=3141
• Results suggest EasyScreen needs Refco
• Orc profits slain in 2004
• PwC report blames options rolls for CAO losses
• Borsa Italiana cash product fee cuts not reflected in derivatives
• Dresdner signs up for Ffastfill ASP
• Ethanol futures burn slow
• Integration boosts OMX 2004 results
• Metal on Bear Stearns' plate
*******
Tom Ascher at ISE
I want to send my own congratulations to Tom Ascher on his new position with the International Securities Exchange. Tom’s new ISE email address is TAscher@iseoptions.com.
********
Brent Crude Watch
IPE Pit Brent Volume: 62,038
IPE Electronic Brent Volume: 29,077
IPE Electronic Brent Percentage: 31.91%
NYMEX Brent Crude Volume: 1056
********
Percent Electronic
CBOT: 65.90%
CME: 65.79%
CME Eurodollars: 84.80%
CME Live Cattle: 1.89%
CME Currency Products: 81.00%
CBOT Soybeans: 3.30%
CBOT Options: 9.33%
CME Options: 1.91%
Volume
OneChicago Volume: 8760
Eurex
Euronext.liffe Eurodollar Volume: 57,248
CBOE Futures Exchange Volume: 1338
Market Share
CBOT 100 oz. Gold Volume: 1186
NYMEX 100 oz. Gold Volume: 52,234
CBOT Share: 2.22%
NYMEX Share: 97.78%
CBOT 5000 oz. Silver Volume: 299
NYMEX 5000 oz. Silver Volume: 20,873
CBOT Share: 1.41%
NYMEX Share: 98.59%
CBOT Mini Gold Volume: 897
CBOT Mini Silver Volume: 462
CME Emini Russell 1000 (100X) Volume: 5649 *record
Eurex US Mini Russell 1000 (100X) Volume: 3312 *record
NYBOT Mini Russell 1000 (50X) Volume: 811
CFE Mini Russell 1000 (100X) Volume: 0
CME Emini Russell 2000 Volume: 122,385
Eurex
CFE Mini Russell 2000 Volume: 376
Notes: The CBOT traded 5 ethanol contracts on Friday.
Liffe Eurodollar Over-Under
Liffe/Globex: 2.31%
Liffe/CME: 1.97%
From the CME about Eurodollars:
The volume of CME Eurodollar futures traded on CME Globex in March totaled a record 26,127,579 contracts, an increase of 19.45 over the previous record in February of 21,878,492 contracts. The March total represents an increase of 425% over March 2004 total of 4,974,629. Average daily volume for CME Eurodollars on CME Globex in March 2005 was a record 1,187,617 contracts compared to the previous record in February of 1,151,500 contracts.
In March, CME Eurodollar futures traded on CME Globex accounted for 75.8% of total CME Eurodollar futures volume, down from the record in February when it reached 76.6%.
Open interest in CME Eurodollar futures and options reached its highest level ever with a record 27,666,865 positions.
In March, more CME Eurodollar options traded than ever before with 18,337,726 contracts, topping the old record from February 2005 of 14,224,785 trades, representing an increase of 28.9%. Average daily volume of CME Eurodollar options in March was a record 833,533 contracts. On March 23, CME Eurodollar options had a record day with 1,524,246 contracts traded, topping the previous record of 1,453,541 contracts from August 6, 2004.
On March 22, the percentage of CME Eurodollars traded on CME Globex reached 83.45, the highest percentage ever for a day on which open outcry was also available.
Total CME Eurodollar futures and options volume in March was a record 52,810,133, a gain of 23.5% over February 2005’s total of 42,774,010 and an increase of 61.9% over the March 2004 total of 32,616,987 contracts.
The March 2005 volume of CME Eurodollar futures on CME Globex was a record 76.3% higher than the preliminary monthly volume of Euronext.liffe Euribor futures of 14,821,585 contracts. This topped the previous spread of 66.3% in February. In March 2005, CME Eurodollar futures on CME Globex out-traded the entire STIR complex volume at Euronext.liffe by 23.6%.
Regards,
John J. Lothian
Publisher
John Lothian Newsletter
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Disclaimer: The John Lothian Newsletter is a product of John J. Lothian & Company, Inc. The opinions expressed are strictly the opinion of John Lothian, and not necessarily those of his employer, The Price Group and its management, and is intended solely for informative purposes and is not to be construed, under any circumstances, by implication or otherwise, as an offer to sell or a solicitation to buy or trade in any commodities or securities herein named. Information is obtained from sources believed to be reliable, but is in no way guaranteed. No guarantee of any kind is implied or possible where projections of future conditions are attempted. Security futures are not suitable for all customers.
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