15 June 2009


Justin Schack

VP Market Structure Analysis

Joe Gawronski


Rosenblatt Securities Inc.
New York +1 212 607 3100
Dublin +353 1 855 9125

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Another Fear Gauge Returns to Normal

One of the most popular barometers for credit distress among money managers has fallen to July 2007 levels, a sign that one of the underlying triggers of the bear market has dissipated. The gap between the 3-month Treasury bill rate and 3-month Libor, known as the TED spread, fell to 48 basis points Thursday -- down from more than 450 basis points at the peak of credit panic in October and near its long-term average of about 50 basis points. 

CME Group Achieves Record Trading Volume in Eurodollar Futures
—Press Release

CME Group, the world's largest and most diverse derivatives exchange, experienced record volumes in their Eurodollar futures on Friday, June 5, 2009. In addition, CME Group's total daily volume and interest rate volume both reached its highest levels for 2009 with 18,149,132 and 10,947,762 contracts traded, respectively.

Our Take: As the interest-rate environment begins to normalize, so do CME’s volumes. But rates still have a long way to go, particularly on the short end of the curve, before we can consider things normal, and CME’s shares have had quite a run lately…

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