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Contract Specs

Eurodollar Futures


Contract Size Eurodollar Time Deposit having a principal value of USD $1,000,000 with a three-month maturity.
Tick Size Outright:
One-quarter of one basis point (0.0025 = $6.25 per contract) in the nearest expiring contract month; One-half of one basis point (0.005 = $12.50 per contract) in all other contract months.

The “new” front-month contract begins trading in 0.0025 increments at 6:00 pm Eastern Time (ET), on the Sunday before the Monday on which the “old” expiring contract ceases trading.

Spread:
Nearest Month spread against another month (0.0025 = $6.25 per contract); All other spreads (0.005 = $12.50 per contract)

Packs and Bundles:
All Packs and Bundles (0.0025 = $6.25 per contract)
Price Quote Quoted in Three-Month LIBOR index points or 100 minus the rate on an annual basis over a 360 day year (e.g., a rate of 2.5% shall be quoted as 97.50). 1 basis point = .01 = $25.
Quarterly Contract Months Mar, Jun, Sep, Dec
Serial Contract Months Jan, Feb, Apr, May, Jul, Aug, Oct, Nov
Last Trading Day The second London bank business day prior to the third Wednesday of the contract expiry month. Trading in the expiring contract closes at 11:00 a.m. London Time on the last trading day.
Delivery method Cash Settled
Final Settlement Expiring contracts are cash settled to 100 minus the British Bankers’ Association survey of 3-month U.S. Dollar LIBOR on the last trading day. Final settlement price will be rounded to four decimal places, equal to 1/10,000 of a percent, or $0.25 per contract.
Accountability Level
10,000
Reportable Level
850
Block Trade Minimum
500
Ticker Symbol
GEe
No Bust Range
2.5 Basis Points