Eurodollar Futures at CME Group offer Greater Relative Stability and Net Returns

Various exchanges offer mimics of CME Eurodollar futures. The main enticements they hawk to prospective contract users are that (i) the best bid/offer spread in the market for the look-alike futures is as tight as in the market for the corresponding CME futures, and (ii) the applicable transaction and clearing fees are pitched at bargain levels.

Lost in the clamor is that a tight bid/offer spread is only as good as the volume tradable at the best bid or best offer. Worse, a patchy order book is apt to rack up trading costs far greater than any savings to be found in exchange fee differentials. This detailed breakdown explains why CME Eurodollar Futures offer greater depth and consistency overall.