| Underlying Instrument |
20 consecutive quarterly expirations of the E-mini Three-Month Eurodollar futures ($100,000 or one-tenth of a regular 5-Year Eurodollar Bundle). |
| Price Quote |
Quoted in IMM Index terms or 100 minus average of interest rate implied by 20 consecutive quarterly Eurodollar Futures (quoted in price, not net change from previous day’s settlement) e.g. 96.6225.
One basis point = 0.01 = $50.00 (i.e. one-tenth of a regular 5-Year Eurodollar Bundle). |
Tick Size
(minimum fluctuation) |
One-quarter of one basis point (0.0025 = $12.50). |
| Contract Months |
Eight consecutive contracts in the March, June, September, December quarterly cycle. |
| Last Trading Day |
The business day prior to the expiration of Eurodollar futures contract with the same expiration month. Trading in expiring contracts closes at 4:00 p.m. on the last trading day. |
| Fungibility |
Each 5-Year E-mini Bundle can be converted to a string of 20 consecutive quarterly E-mini Eurodollar futures, starting with the same expiration. |
| Final Settlement |
The final settlement price is the average settlement price of the 20 underlying Eurodollar futures on the last trading day, calculated to 0.00001 IMM Index pont. A Eurodollar 5-Year E-mini Bundle shall be converted into a string of 20 consecutive E-mini Eurodollar futures contracts, with the leading contract cash-settled in accordance with the rules for E-mini Eurodollar futures on its final settlement day. The remainder of the contracts shall remain open and are eligible for conversion to an E-mini Bundle by adding another expiration, or to a full-sized Eurodollar futures at a 10-to-1 ratio. |
| Position Limits |
Current Position Limits |
| Block Minimum |
Block Trading Minimums |
| All or None Minimum |
All or None Minimums |
| Rulebook Chapter |
CME Chapter 456 |
Trading Hours
(All times listed are Central Time) |
OPEN OUTCRY
n/a - Traded exclusively on CME Globex
CME GLOBEX
SUN - FRI: 5:00 p.m. - 4:00 p.m. CT
|
| Ticker Symbol |
|
| Exchange Rule |
These contracts are listed with, and subject to, the rules and regulations of CME. |
