CME Group Eurodollars

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Eurodollar futures
Exchange CME Group
Settlement Cash settled
Contract Size Eurodollar Time Deposit having a principal value of $1,000,000 with a three-month maturity
Pricing Unit Quoted in IMM 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.
Tick Value 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.

Contract Months Mar, Jun, Sep, Dec, extending out 10 years (total of 40 contracts) plus the four nearest serial expirations (months that are not in the March quarterly cycle). The new contract month terminating 10 years in the future is listed on the Tuesday following expiration of the front quarterly contract month.
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.
  Open Outcry Electronic
Trading Hours N/A SUN - FRI: 5:00 p.m. - 4:00 p.m. (Chicago time)
Ticker Symbol N/A GE
Price Limits N/A 200 points
 
Eurodollar options
Trade Unit One futures contract
Point Value $25.00 (1 point = .01)
Tick Value $12.50; $6.25 for nearest expiring month. (Half Tick - 0.005; nearest expiring month - Quarter tick - 0.0025)
Option Months Mar, Jun, Sep, Dec. 8 months in the March quarterly cycle and 2 serial months not in the March cycle.
Strike Prices All listed intervals
  Open Outcry Electronic
Trading Hours 7:20 a.m.-2:00 p.m. (Chicago time) Mon/Thurs 5:00 p.m.-4:00 p.m. ; Shutdown period from 4:00 p.m. to 5:00 p.m. nightly; Sun & Hol 5:00 p.m.-4:00 p.m. (Chicago time)
Ticker Symbol See right Clearing: Calls/Puts=ED; Globex=GE; Ticker Calls=CE; Ticker Puts=PE; AON=OW. 1-YR MID-CURVES (Clearing: Calls/Puts=E0; Globex=GE0; AON=W0). 2YR MID-CURVES (Clearing: Calls/Puts=E2; Globex=GE2; AON=W2). 5YR MID-CURVES (Clearing: Calls/Puts=E5; Globex=GE5; AON=W5)
Price Limits Trading halts when primary futures contract is locked at limit. N/A

Notes

In addition to quarterly/serial options, CME group also offers mid-curve options, weekly mid-curve options, and treasury matched mid-curve options with the underlying instruments Eurodollar futures in various maturities on the yield curve. For more mid-curve options contract specifications, please refer to CME group mid-curve options.

Please note: CME Group Eurodollar futures are eligible for mutual offset (MOS) with the Singapore Exchange.

Also See

CME Group interest rate products

Resources

Eurodollar Futures Contract Specs