CME Group Eurodollars
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As of Feb. 9th, 2021, the Three Month Eurodollar Futures and Options Contract has been amended to include USD London Inter-bank.
Offered Rate (“LIBOR”) Fallback Provisions.[1]
| Eurodollar Futures | |
|---|---|
| Contract Unit | $2,500 x Contract IMM Index |
| Price Quotation | Contract IMM Index = 100 minus R
R = three-month London interbank offered rate for spot settlement on 3rd Wednesday of contract month. 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. |
| Trading Hours | SUN - FRI: 5:00 p.m. - 4:00 p.m. CT |
| Minimum Price Fluctuation | Nearest expiring contract month:
One quarter of one interest rate basis point = 0.0025 price points = $6.25 per contract. All other contract months: One half of one interest rate basis point = 0.005 price points = $12.50 per contract. 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. |
| Product Code | CME Globex: CME Globex: GE
CME ClearPort: ED Clearing: ED |
| Listed Contracts | 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. 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. |
| Settlement Method | Financially Settled |
| Termiantion 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. |
| Settlement Procedures | Eurodollar Future Settlement Procedures |
| Position Limits | CME Position Limits |
| Exchange Rulebook | CME 452 |
| Block Minimum | Block Minimum Thresholds |
| Price Limit or Circuit | Price Limits |
| All or None Minimum | All or None Minimums |
| Vendor Codes | Quote Vendor Symbols Listing |
| Eurodollar Options | ||
|---|---|---|
| Minimum Price Fluctuation | Quarterly and Serial | Quoted in IMM Index points.
One-quarter of one basis point (0.0025 IMM Index point = $6.25) for option whose underlying futures contract is the nearest expiring futures contract month. One-quarter of one basis point (0.0025 = $6.25) when option premium is no greater than five ticks and option contract month is any of nearest 2 March Quarterly months or nearest 4 Serial months. One-half of one basis point (0.005 = $12.50) for all other contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
| Note | The minimum fluctuation shall be .005 IMM Index point ($12.50, also known as one-half tick). Trades may also occur at a price of .0025 IMM Index point ($6.25, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade. | |
| Trading Hours | CME Globex: | SUN-FRI: 5:00 p.m. - 4:00 p.m. |
| Open Outcry: | MON - FRI: 7:20 a.m. - 2:00 p.m. | |
| Product Code | CME Globex: GE
CME ClearPort: ED Open Outcry: Put: PE Call: CE Clearing: ED | |
| Listed Contracts | Serial | Nearest 4 Serial (non-March Quarterly) months |
| Quarterly | Nearest 16 March Quarterly months | |
| Termination of Trading | Serial | The Friday immediately preceding the third Wednesday of the contract month. |
| Quarterly | The second London bank business day before the third Wednesday of the contract month. Trading in expiring contracts ceases at 11:00 a.m. London Time on the last trading day. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices for the first 6 option (4 serial and 2 quarterly) months will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.
All other options (back 14 quarterlies) and Mid Curve Options will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlement Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 1 Year Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | Quoted in IMM Index points.
One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. | |
| Trading Hours | CME Globex: | Sunday - Friday : 5:00 p.m. – 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT |
| Open Outcry: | MON - FRI: 7:20 a.m. - 2:00 p.m. | |
| Product Code | CME Globex: GE0
CME ClearPort: E0 Open Outcry: E0 Clearing: E0 | |
| Listed Contracts | Nearest 5 March Quarterly months.
Nearest 4 Serial (non-March Quarterly) months. | |
| Termination of Trading | The Friday immediately preceding the third Wednesday of the option expiration month. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 6.25 basis points (0.0625 price points) for the first150 basis points around the At The Money (ATM) for the first 4 serial and 2 quarterly months.
Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 1 Year Weekly Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | One-half of one basis point (0.005 = $12.50). | |
| Trading Hours | CME Globex: | Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT |
| Open Outcry: | MON - FRI: 7:20 a.m. - 2:00 p.m. | |
| CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT | |
| Product Code | CME Globex: E01,E02,E03,E04,E05
CME ClearPort: 1K,2K,3K,4K,5K Open Outcry: 1K,2K,3K,4K,5K Clearing: 1K,2K,3K,4K,5K | |
| Listed Contracts | Weekly expirations including the serial/quarterly Mid-curve options. Two weekly expirations of each year (1-Year, 2-Year and 3-Year) will be listed at any one given time. | |
| Termination of Trading | Each Friday that is not an expiration day for a Quarterly or Serial 1-Year, 2-Year or 3-Year Mid-Curve Option. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 6.25 basis points (0.0625 price points) for the first150 basis points around the At The Money (ATM) for all available contracts
Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 2 Year Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | Quoted in IMM Index points.
One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. | |
| Trading Hours | CME Globex: | SUN-FRI: 5:00 p.m. - 4:00 p.m. |
| Open Outcry: | MON - FRI: 7:20 a.m. - 2:00 p.m. | |
| Product Code | CME Globex: GE2
CME ClearPort: E2 Open Outcry: E2 Clearing: E2 | |
| Listed Contracts | Nearest 5 March Quarterly months.
Nearest 4 Serial (non-March Quarterly) months. | |
| Termination of Trading | Trading terminates Friday immediately preceding the third Wednesday of the option expiration month. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 6.25 basis points (0.0625 price points) for the first150 basis points around the At The Money (ATM) for the first 4 serial and 2 quarterly months.
Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 2 Year Weekly Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | One-half of one basis point (0.005 = $12.50). | |
| Trading Hours | CME Globex: | Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT |
| Open Outcry: | MON - FRI: 7:20 a.m. - 2:00 p.m. | |
| CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT | |
| Product Code | CME Globex: E21,E22,E23,E24,E25
Open Outcry: EE1,EE2,EE3,EE4,EE5 Clearing: EE1,EE2,EE3,EE4,EE5 | |
| Listed Contracts | Weekly expirations including the serial/quarterly Mid-curve options. Two weekly expirations of each year (1-Year, 2-Year and 3-Year) will be listed at any one given time. | |
| Termination of Trading | Trading terminates each Friday that is not an expiration day for a Quarterly or Serial 1-Year, 2-Year or 3-Year Mid-Curve Option. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 6.25 basis points (0.0625 price points) for the first150 basis points around the At The Money (ATM) for all available contracts
Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 3 Month Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | One-half of one basis point (0.005 = $12.50) for all contract months, one-quarter of one basis point (0.0025 = $6.25) for premiums less than 5.00. | |
| Trading Hours | CME Globex: | Sunday - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET) |
| CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT | |
| Open Outcry: | MON - FRI: 7:20 a.m. - 2:00 p.m. | |
| Product Code | CME Globex: TE2
CME ClearPort: TE2 Open Outcry: TE2 Clearing: TE2 | |
| Listed Contracts | Contracts listed for 1 March quarterly (H/M/U/Z) and 2 Serial Months (F/G/J/K/N/Q/V/X) | |
| Termination of Trading | Trading terminates on the Friday before the 3rd Wednesday of the contract month. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Price Limits | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 3 Year Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | Quoted in IMM Index points.
One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. | |
| Trading Hours | CME Globex: | SUN-FRI: 5:00 p.m. - 4:00 p.m. |
| Open Outcry: | MON - FRI: 7:20 a.m. - 2:00 p.m. | |
| Product Code | CME Globex: GE3
CME ClearPort: E3 Open Outcry: E3 Clearing: E3 | |
| Listed Contracts | Nearest 5 March Quarterly months.
Nearest 4 Serial (non-March Quarterly) months. | |
| Termination of Trading | The Friday immediately preceding the third Wednesday of the option expiration month | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 7:00 p.m. CT on the day of exercise. Unexercised options shall expire at 7:00 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 3 Year Weekly Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | One-half of one basis point/0.005 = $12.50 | |
| Trading Hours | CME Globex: | Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT |
| Open Outcry: | Monday - Friday: 7:20 a.m. - 2:00 p.m. CT | |
| CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT | |
| Product Code | CME Globex: E31,E32,E33,E34,E35
Open Outcry: EF1,EF2,EF3,EF4,EF5 Clearing: EF1,EF2,EF3,EF4,EF5 | |
| Listed Contracts | Weekly contracts listed for 2 consecutive weeks. No weekly contract listed the same week as the serial or quarterly expiration. | |
| Termination of Trading | Trading termiates on Friday of the contract week. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price.
Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 4 Year Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | Quoted in IMM Index points.
One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. | |
| Trading Hours | CME Globex: | SUN-FRI: 5:00 p.m. - 4:00 p.m. |
| Open Outcry: | MON - FRI: 7:20 a.m. - 2:00 p.m. | |
| Product Code | CME Globex: GE4
CME ClearPort: E4 Open Outcry: E4 Clearing: E4 | |
| Listed Contracts | Nearest 5 March Quarterly months.
Nearest 4 Serial (non-March Quarterly) months. | |
| Termination of Trading | Trading terminates Friday immediately preceding the third Wednesday of the option expiration month. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.
Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 5 Year Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | Quoted in IMM Index points.
One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. | |
| Trading Hours | CME Globex: | SUN-FRI: 5:00 p.m. - 4:00 p.m. |
| Open Outcry: | MON - FRI: 7:20 a.m. - 2:00 p.m. | |
| Product Code | CME Globex: GE5
CME ClearPort: E5 Open Outcry: E5 Clearing: E5 | |
| Listed Contracts | Nearest 5 March Quarterly months.
Nearest 4 Serial (non-March Quarterly) months. | |
| Termination of Trading | Trading terminates Friday immediately preceding the third Wednesday of the option expiration month. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 6 Month Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet price equals one-quarter of one basis point (0.0025 = $6.25) | |
| Trading Hours | CME Globex: | Sunday - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET) |
| CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT | |
| Open Outcry: | Monday – Friday 7:20 AM to 2:00 p.m. CT | |
| Product Code | CME Globex: TE3
CME ClearPort: TE3 Open Outcry: TE3 Clearing: TE3 | |
| Listed Contracts | Contracts listed for 1 March quarterly (H/M/U/Z) and 2 Serial Months (F/G/J/K/N/Q/V/X) | |
| Termination of Trading | Trading terminates on the Friday before the 3rd Wednesday of the contract month. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar 9 Month Mid-Curve Options | ||
|---|---|---|
| Minimum Price Fluctuation | One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet price equals one-quarter of one basis point (0.0025 = $6.25) | |
| Trading Hours | CME Globex: | Sunday - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET) |
| CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT | |
| Open Outcry: | Monday – Friday 7:20 AM to 2:00 p.m. CT | |
| Product Code | CME Globex: TE4
CME ClearPort: TE4 Open Outcry: TE4 Clearing: TE4 | |
| Listed Contracts | Contracts listed for 1 March quarterly (H/M/U/Z) and 2 Serial Months (F/G/J/K/N/Q/V/X) | |
| Termination of Trading | Trading terminates on the Friday before the 3rd Wednesday of the contract month. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452A | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | Strike prices will be listed in intervals of 12.5 basis points (0.125 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. | |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
| Eurodollar Calendar Spread Options | ||
|---|---|---|
| Minimum Price Fluctuation | One-quarter of one basis point (0.0025 = $6.25) when the nearest contract month of the underlying ED futures calendar spread is the nearest expiring futures contract month and also for options with premiums below 0.05 IMM index points.
One-half of one basis point (0.005 = $12.50) for all other contract months. | |
| Price Quotation | U.S. dollars and cents per IMM index point | |
| Trading Hours | CME Globex: | Sunday - Friday 5:00 p.m. – 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT |
| Open Outcry: | Monday - Friday: 7:20 a.m. - 2:00 p.m. CT | |
| CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT | |
| Product Code | CME Globex: SPO
CME ClearPort: SPO Open Outcry: SP1 Clearing: SPO | |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep and Dec) listed for 4 consecutive quarters and 2 serial contract months | |
| Termination of Trading | Trading terminates on the Friday prior to the third Wednesday of the contract month. | |
| Position Limits | CME Position Limits | |
| Exchange Rulebook | CME Chapter 452D | |
| Block Minimum | Block Minimum Thresholds | |
| Price Limit or Circuit | Price Limits | |
| Vendor Codes | Quote Vendor Symbols Listing | |
| Strike Price Listing Procedures | At-the-money strike price plus/minus 20 strike prices in integral increments of 5 basis points (0.05 IMM index points). | |
| Exercise Style | American | |
| Settlemnt Method | Deliverable | |
| Underlying | Eurodollar Futures | |
Notes[edit]
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[edit]
CME Group interest rate products