CME Group Eurodollar 5-Year E-mini Bundles

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Eurodollar 5-Year E-mini Bundles Futures
Delivery Dates • IMM Mondays in March Quarterly months (March, June, Sept, Dec)

• 2 Nearest Quarters listed at a time (for each of the three bundles)

Price Basis • IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the

3rd Wednesday of contract month.

• Example: A price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).

Contract Size • $1,000,000 notional principal
Minimum Price Increment • 0.005 IMM Index Points
Trading Unit One each of a sequence of eight or more ED futures with consecutive delivery months in the March Quarterly

delivery cycle, spanning a given Bundle Tenor, for a given Bundle Month

Tenor Minimum Price Fluctuation* Minimum Price Increment RTH Block Threshold
2-Year 0.0025 IMM Index Points $50 per contract 500 contracts
3-Year 0.0025 IMM Index Points $75 per contract 330 contracts
5-Year 0.0025 IMM Index Points $125 per contract 200 contracts
Last Trading Day • Second London business day before 3rd Wednesday of futures Delivery Month
Trading Hours • CME Globex: 5pm to 4pm CT, Sun- Fri

• Trading in expiring futures terminates at 2pm CT on Last Trading Day

Tickers CME Ticker Bloomberg Code
2 Year BU2 BUA Comdty
3 Year BU3 BUB Comdty
5 Year BU5 BUD Comdty
Matching Algorithms Outrights Calendar Spreads
First in First out (F Algorithm) 100% Pro-Rata (K Algorithm)
Eurodollar 5-Year E-mini Bundles Options
Expiry Months • 2 Nearest Quarterly Options: March Quarterly Months (March, June, Sept, Dec)

• 2 Nearest Serial Months: Non-March Quarterly Months (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov)

Price Basis • IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the 3rd

Wednesday of contract month.

• Example: A futures price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).

Exercise Price Arrays • Integer Multiples of 0.25 IMM Index points, from 5.50 IMM Index points above to 5.50 IMM Index points below the

current at-the-money price.

• Integer Multiples of 0.125 IMM Index points, from 1.50 IMM Index points above and to 1.50 Index points below the current at-the-money price

Exercise Price Arrays • American Style – Option may be exercised on any day, with notification of exercise to CME Clearing no later than 7pm.
Minimum Price Increment Tenor Minimum Price Fluctuation* Minimum Price Increment RTH Block Threshold
2-Year 0.0025 IMM Index Points $50 per contract 1,250 contracts
3-Year 0.0025 IMM Index Points $75 per contract 825 contracts
5-Year 0.0025 IMM Index Points $125 per contract 500 contracts
Last Trading Day Friday preceding 3rd Wednesday of Option Expiry Month.
Trading Hours • CME Globex: 5pm to 4pm CT, Sun- Fri

• Trading in expiring futures terminates at 2pm CT on Last Trading Day

Tickers CME Ticker Bloomberg Code
2 Year BU2 BUA Comdty
3 Year BU3 BUB Comdty
5 Year BU5 BUD Comdty

Notes[edit]

Resources[edit]

CME Group Eurodollar E-mini Bundles Contract Specifications