• Same Eurodollar Exposure, Convenience of a Single Contract

Eurodollar Bundle Futures and Options

Capitalize on this innovative product that offers a new avenue for trading long-dated Eurodollar exposures, linked to the world’s deepest futures liquidity pool.

Contracts are available in 2-Year, 3-Year and 5-Year trading increments – providing the same exposure of existing Eurodollar Bundles (simultaneous buying or selling of 8, 12 or 20 consecutive Eurodollar futures contracts in one transaction) wrapped into a single futures or options contract.

Benefits include:

Operationally simple

  • Single line item to manage
  • $1 million in notional value
  • Flexible execution through CME Globex, Open Outcry and Block Trades

Capital efficiency

  • Efficient margin treatment due to single line item nature
  • Lower cost alternative to swaps

Liquidity of Eurodollars

  • Physically deliverable into Eurodollar Futures
  • Same committed market makers as those active in existing Bundle markets

Simple, transparent pricing

  • Same pricing convention as Eurodollar futures
  • Trade spreads on numerical basis vs. outright Eurodollar contracts

Options: Same exposure, greater trading flexibility

  • Standardized, cost-effective alternative to OTC bilateral products
  • Execution certainty and operational efficiencies
  • Use same strike price, quoting conventions of Eurodollar and Mid-Curve options

Learn more about how Eurodollar Bundle futures and options could benefit you:

View Product Overview      View Futures Reference Guide

    • Notional Value paper
    • Notional Value paper Explanation of the notional value and DV01s of Bundle futures vs, the deliverable-grade Eurodollar futures.
    • Historical pricing data
    • Historical pricing data Download and back-test historical price data for Eurodollar Bundle futures and options synthesized from historical Eurodollar pricing data.
    • Delivery Process paper
    • Delivery Process paper Offers detailed examples of what occurs at contract expiration and delivery, as well as how final settlement price is ca...

About Existing Eurodollar Bundles Combinations

These contracts will complement existing Eurodollar Bundles:

  • Simultaneously buy or sell a strip of eight or more Eurodollar futures with consecutive quarterly contract months
  • Typically begins with 1st quarterly contract of strip. Example: “Red” Bundle = 1st eight quarterly contracts

Contacts

North America
David Reif
+1 312 648 3839

Andy Newman
+1 212 299 2704

Ted Carey
+1 312 930 8554

Kaitlin Meyer
+1 312 648 5343

Europe
David Coombs
+44 20 3379 3703

Asia
Malcolm Baker
+65 6593 5573

Futures & Options Trading

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