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Interest Rate Products
Eurodollar Mid-Curve Options

Three-year (Blue) Mid-Curve Serial Option Expirations Coming August 15, 2011

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, or four 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 the 1-Year, 2-Year, and 4-Year Mid-Curve options, CME also offers:

Weekly Mid-Curve options, which allow risk managers to trade Eurodollar options with high gamma on one of the most actively traded Eurodollar futures expirations, the fifth quarterly or first "Red" contract. There are five consecutive weekly options available for trading.

There are always four Weekly Mid-Curve expirations available for trading, in addition to the standard quarterly and serial Mid-Curve expirations.

Contract Specifications for Eurodollar and Mid-Curve Options
Mid-Curve Options Expiration Calendar (PDF)
Daily Settlements

Additional Information:
Eurodollar Options Fact Card (PDF)
Eurodollar Options Quarter Tick Eligible Months and 12.5 Basis Point Strikes Listings (PDF)


If you have questions on Eurodollar Mid-Curve options, please contact:
David Reif       312-648-3839