The Eagle release (an acronym for Electronic Arbitrage GLOBEX Liquidity Enhancer) will enable customers to execute trades electronically in the first eight quarterly expirations and 22 corresponding calendar spreads in Eurodollar futures.
"Our electronic trading customers have told us they need enhanced ability to execute Eurodollar spreads on GLOBEX," said CME Chairman Terrence A. Duffy. "This release represents yet another milestone in improving our GLOBEX trading platform."
"The Eagle release will allow customers who trade complex Eurodollar calendar spreads in our open outcry format to trade the same strategies on GLOBEX 23 hours a day," said CME President and CEO Jim McNulty. "This release is designed to meet the needs of many of our international customers and our arbitrage community."
The enhancement is designed to increase liquidity on the GLOBEX system by creating implied prices for outright orders and spreads on the system. These implied orders will be calculated from combinations of other actual orders and guaranteed by the matching engine, eliminating the "leg risk" in the execution of these trades. Trading of calendar spreads of the type that GLOBEX will facilitate replicates the mechanism by which significant liquidity is generated in open outcry Eurodollar trading.
Eagle will also display the depth of the market "book" by revealing the five best bids and offers for each outright and spread. In a second release planned for early 2003, the Eagle Project will accommodate additional Eurodollar trading strategies, including packs, bundles and butterflies. The technology can also be applied to facilitate electronic spread trading in other CME products traded on GLOBEX.
CME's Eurodollar futures are the world's most actively traded futures contract. Average daily volume in Eurodollar futures this year through May was more than 850,000 contracts, up 15 percent over the same period last year. Eurodollar volume transacted on GLOBEX has increased 57 percent over the same period, averaging 31,590 contracts daily.
Chicago Mercantile Exchange Inc. (www.cme.com) is the largest futures exchange in the United States and the second largest exchange in the world for the trading of futures and options on futures. As an international marketplace, CME brings together buyers and sellers on its trading floors and GLOBEX around-the-clock electronic trading platform. CME offers futures contracts and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moves about $1.6 billion per day in settlement payments and manages $27.4 billion in collateral deposits. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc.
