CME:GE Eurodollar Futures prices chart
Eurodollar Futures (CME:GE) :
Product Code: CME Globex: GE, CME ClearPort: ED, Clearing: ED
Contract Unit: $2,500 x Contract IMM Index
Price Quotation: Contract IMM Index = 100 minus R
(1) R = three-month London interbank offered rate for spot settlement on 3rd Wednesday of contract month.
(2) E.g., a price quote of 97.45 signifies a deposit rate of 2.55 percent per annum. One interest rate basis point = 0.01 price points = $25 per contract.
Minimum Price Fluctuation:
(1) Nearest expiring contract month: One quarter of one interest rate basis point = 0.0025 price points = $6.25 per contract.
(2) All other contract months: One half of one interest rate basis point = 0.005 price points = $12.50 per contract.
(3) The “new” nearest contract begins trading in 0.0025 increments on the same trade date as the last trading day in the expiring “old” nearest contract.
Settlement Method: Financially Settled
(1) Nearest 40 months (i.e., 10 years) in the March Quarterly cycle (Mar, Jun, Sep, Dec) plus the nearest 4 “serial” months not in the March Quarterly cycle.
(2) The new March Quarterly contract month for delivery 10 years hence is listed on the expiration day of the nearby quarterly contract month.
For example, if GEZ17 terminates trading on Mon, 18 Dec at 5am CT, then GEZ27 is listed for trading at 5pm CT on Sun, 17 Dec at 5pm CT, for first trade date of Mon, 18 Dec.
Termination Of Trading: Second London bank business day before 3rd Wednesday of the contract month. Trading in expiring contracts terminates at 11:00 a.m. London time on the last trading day.
Trading Hours: SUN - FRI: 5:00 p.m. - 4:00 p.m. CT
(1) have nothing to do with Euro(EUR), Europe’s single currency launched in 1999.
(2) are time deposits denominated in U.S. dollars and held in banks outside of the United States. Initially largely held in European banks, but now dollar deposits are held in a variety of banks across the globe.
(3) time deposit is simply an interest-yielding bank deposit with a specified date of maturity.
(4) Eurodollars typically offer higher yields because they are not subject to U.S. bank regulation and therefore carry greater risk.