Wednesday, June 13, 2012

Eurodollar open interest vs. S&P 500



Click to enlarge

I dusted this chart off last night and sent it to a bud so figure I'll put it up here as well although I'll note that it was grabbed late last year so isn't perfectly up to date.  
 
The financial industry boom/bust of the 2000s was quite amazing and will be tough to match again in my lifetime.  Above is a chart which really illustrates the rise then fall of the era's expansion with the top half being the weekly S&P 500 price and the bottom chart showing open interest on eurodollar short term interest rate futures (LIBOR).  Before putting the two figures side by side, I was aware of a correlation between the equity market and the financing market but was surprised it was this precise.  

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