Eurodollar Mid-Curve options are short-dated American-style options on long-dated Eurodollar futures. These options, with a time to expiration of three months to one year, have as their underlying instrument Eurodollar futures one, two, three, four or five years out on the yield curve.
These products provide a wide variety of hedging and trading opportunities on the mid-range of the yield curve – hence the name "Mid-Curve" options. Because they are short-dated, they offer a low premium, high time decay option alternative for trading this part of the curve.
In addition to quarterly and serial Mid-Curve options, CME also offers Weekly Mid-Curve options:
Weekly Mid-Curve options allow risk managers to trade Eurodollar options with high gamma on some of the most actively traded Eurodollar futures expirations.
Weekly Mid-Curve listing cycle
Currently, there are always two Weekly 1-Year Red Mid-Curve expirations, two Weekly 2-Year Green Mid-Curve expirations and two Weekly 3-Year Mid-Curve expirations available for trading, in addition to the standard quarterly and serial Mid-Curve expirations.
Updated vendor codes coming soon
If you have questions on Eurodollar Mid-Curve options, please contact:
David Reif 312-648-3839