You are talking about elastic sewing thread.
This is available in the haberdashery of - I guess - every average store.
In Germany a coil of this thread isn't more than 2,- €.
It is exactly the same material like this one, ...
... available from Craig R. Dickson (wizardcraft.com):
http://www.wizardcraft.com/thread_magic.htm
Next to last entry on the page.
The material of this thread is PADh-Polyamid; look at a appropriate reference on the wrapping.
Cheers
Th.