Eurodollar Futures and Options Trading

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Here is the brochure from the CME Group for Eurodollar futures and options.

Eurodollar brochure

Euro dollars are U.S. dollars on deposit in commercial banks located outside of the United States. Euro dollars deposits play a major role in the international capital market, and they have long served as a benchmark interest rate for corporate funding.

*Were you looking for information about the Euro Currency? The currency used by the European Union. If so click Euro Currency now.

The Euro dollar futures CME contract reflects the London Interbank Offered Rate (LIBOR) for a three-month, $1 million offshore deposit. Euro dollar deposits are direct obligations of the commercial banks accepting the deposits and are not guaranteed by any government. Although they represent low-risk investments, Euro dollar deposits are not risk-free. Changing interest rates can hurt euro dollar investments.

CME developed and launched Euro dollar futures in 1981, and since then Eurodollar futures has evolved into one of the world’s most innovative and popular contracts—and is now the most actively traded futures contract in the world with open interest recently surpassed the forty million mark and an average daily volume of over 3 million Eurodollar futures contracts.

Euro dollar future volume on the GLOBEX electronic platform accounts for over 85% of the Eurodollar futures volume.

CME Euro dollar futures are cash-settled, therefore, there is no delivery of a cash instrument upon expiration because cash Euro dollar time deposits are not transferable.

Eurodollar futures contract size has a principal value of $1,000,000 with a three-month maturity. Eurodollar futures move in 1 point increments, or .01, equaling $25. The Eurodollar tick reflect the dollar value of a 1/100 of one percent change in a $1 million, 90-day deposit, determined by the following equation:

$1,000,000 notional value x .0001 x 90/360 = $25.

Trading can also occur in minimum ticks of .0025, or ¼ ticks, representing $6.25 per contract and in .005, or ½ ticks, representing $12.50 per contract. Eurodollar contracts trade Mar, Jun, Sep, Dec; Forty months in the March quarterly cycle, and the four nearest serial contract months

Since the Eurodollar futures contract’s inception, it has become one of the most versatile investment vehicles offered on the listed markets. As a result, today’s Eurodollar future contract offers even more trading opportunities.

Besides Eurodollar futures and options on futures, CME also developed the following as part of the Eurodollar contract:

Eurodollar Bundles—allow traders to simultaneously buy or sell a consecutive series of Eurodollar futures in equal proportions beginning with the front quarterly contract.

Eurodollar Packs—simultaneous purchase or sale of an equally weighted, consecutive series of four Eurodollar futures, quoted on an average net change basis from the previous day’s close.

Serial Eurodollars—identical to quarterly Eurodollar futures with the exception of expirations dates. Serial Eurodollars expire in months other than those in the March, June, September and December quarterly cycles.

*Contract information changes from time to time. Please click here to see the most recent contract specifications and click here for the most recent trading hours.

Eurodollar Future Contract Specifications

Eurodollar Futures

Contract Size - $1,000,000

Quotations - Index points

Minimum Price Fluctuation (Tick) - .0025 = $6.25/contract for spot-month contract; .005 = $12.50/contract for all other contracts

Contract Months - Mar, Jun, Sep, Dec and 4 serial months

Regular Trading Hours (Central Time) - 7:20 a.m. - 2:00 p.m.

GLOBEX Trading Hours (Central Time) - 4:30 p.m. - 4:00 p.m. the following day; on Sunday, trading begins at 5:30 p.m.

Last Trading Day - 11:00 a.m. London time on the second London bank business day immediately preceding the third Wednesday of the contract month

Final Settlement - Based on the British Bankers' Association Interest Settlement Rate

Trading Symbol

Eurodollar Options on Futures

Underlying Contract - One Eurodollar futures contract

Strike Prices - 25-basis-point intervals (i.e., 93.00, 93.25, 93.50, etc.) 12.5-tick strike prices are listed on the 2 serial months and next quarterly expiration month on the day following the expiration day of options in the March quarterly cycle. 12.5-tick strikes are listed in one-year Mid-Curve options on the 2 serial and first quarterly expirations, and in the 2-year Mid-Curve option in the first quarterly expiration. Under certain circumstances, CME interest rate option combinations may trade at one-half tick increments (.005 = $12.50). Contact your broker or CME.

Premium Quotations - Total IMM Index points (i.e., 0.34 quoted as "34 Index points" or "34 basis points")

Minimum Price - .0025 = $6.25/contract for the nearest expiring quarterly options contract; .005 = $12.50/contract or the serials and first four quarterly options and the first two quarterly expirations and serials in the 1-Year Mid-Curves and both quarterly expirations of the 2-Year Mid-Curves; .01 = $25.00/contract for the last two quarterly options and the last two quarterly expirations of the 1-Year Mid-Curves. For trades in the fifth and sixth quarterly options (the "Reds") half-tick trading is only allowed for options trading at a price of 5 ticks or less.

Contract Months - Quarterly options: the nearest 6 March quarterly expiration months and 2 serial months; One-year Mid-Curves: the nearest 4 quarterly expirations and 2 serial months; Two-year Mid-Curves: 2 March quarterly expirations

Regular Trading Hours (Central Time) - 7:20 a.m. - 2:00 p.m.

GLOBEX Trading Hours (Central Time) - 2:13 p.m. - 7:05 a.m.; on Sunday, trading begins at 5:30 p.m.

Last Trading Day - Quarterly options: second London bank business day immediately preceding the third Wednesday of the contract month; Serial and Mid-Curve options: Friday immediately preceding the third Wednesday of the contract month.

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