Eurodollar Calendar Spread Options Fact Card

Eurodollar CSOs are designed to allow more efficient management of risk exposures specifically tied to the slope of the Eurodollar rate curve, allowing you to trade on the curve’s direction as well as its volatility. They provide a new alternative to take a position on the flattening or steepening of the yield curve, and a means to spread curve volatility against outright futures volatility, complementing the popular conditional curve” trade where options are traded on the legs of the individual underlying futures contract. This fact card will give you a quick snapshot of who uses these contracts and why, plus the contract specifications you need to know to begin trading.

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