CBOT develops liquidity analytics tool

The Chicago Board of Trade (CBOT) will introduce a new market data display application this week, in an effort to provide greater market transparency and help participants make better intraday trading decisions.

The web-based application, called Liquidity Analyzer, provides buy and sell demand in CBOT options and futures contracts, and is sourced from the CBOT's Liquidity Data Bank (LDB) service. Information is updated every 30 minutes.

Data is translated into charts and data tables, and specific CBOT volumes are provided at price levels based on different types of traders. The traders are listed by the amount of futures and options contracts they buy and sell and labelled with a 'customer-type indicator'.

"Any trader would be interested to know where commercial firms are buying and selling markets," said Steve Dickey, vice-president of market data products and information at the exchange. "Any trader would like to know where hedge funds are buying and selling markets. This gives a clue as to what activity is taking place," he adds.

Dickey said such information was already available to traders in LDB, but it was not presented in an easy-to-view format.

Liquidity Analyzer also offers additional functions beyond the LDB. For example, it displays historical implied volatility, put/call ratios for options traders and options evaluation, all of which are sourced from a CBOT database.