Eurodollar Term Mid-Curve Options

Bringing Greater Short-Term Flexibility to the Eurodollar Curve

New three-, six-, and nine-month Eurodollar Term Mid-Curve options are designed to answer marketplace demand for greater flexibility to trade short-dated 1-3 month options on white quarterly Eurodollar futures.

Term Mid-Curve Resources

Contract Details

Option Contract	Symbol	Underlying Future
3-Month Mid-Curve Options	TE2	Futures contract that expires 3 calendar months from the next March quarterly month that is nearest to the expiration of the option
6-Month Mid-Curve Options	TE3	Futures contract that expires 6 calendar months from the next March quarterly month that is nearest to the expiration of the option
9-Month Mid Curve Options	TE4	Futures contract that expires 9 calendar months from the next March quarterly month that is nearest to the expiration of the option

Rules for Determining the Underlying Future

TE2 references the second quarterly including the options typical underlying future (typical quarterly (1) + 1)

August option references the December underlying (Sept (1) + 1 quarterly = December)

TE3 references the third quarterly listed including the options typical underlying future (typical quarterly (1) + 2)

August option references the March underlying (Sept (1) + 2 quarterlies = March)

TE4 references the fourth quarterly listed including the options typical underlying future (typical quarterly(1) + 3)

August option references the June underlying (Sept (1) + 3 quarterlies = June)

Product Codes

Product Name	CME Globex	CME Direct	Bloomberg	Thomson Reuters RICs	TT	CQG	Fidessa	OptionsCity (Vela)	FIS/SunGard	Rival
3-Month Mid-Curve Options	TE2	TE2	TTR	T2E	TE2	TE2	TE2	TE2	TE2	TE2
6-Month Mid-Curve Options	TE3	TE3	TSA	T3E	TE3	TE3	TE3	TE3	TE3	TE3
9-Month Mid-Curve Options	TE4	TE4	TNW	T4E	TE4	TE4	TE4	TE4	TE4	TE4

Listing Schedule

Initial listings will be two serials and one quarterly option. On June 11 there will be a July 2018, August 2018 and September 2018 options referencing the below underlying futures.

	Underlying Future
Options Expiration	Sep-18	Dec-18	Mar-19	Jun-19	Sep-19
July-18	Typical Eurodollar Underlying	TE2N8	TE3N8	TE4N8
August-18		TE2Q8	TE3Q8	TE4Q8
September-18		TE2U8	TE3U8	TE4U8
October-18* (Not listed on day 1)			TE2V8	TE3V8	TE4V8

*When July expires on Friday July 13, 2018 October 2018 will be listed, TE2V8, TE3V8 and TE4V8

Why List Term Mid-Curves?

Mid-Curve options reference an underlying futures contract of the same named month, one to five years in the future. A June 1 year Mid-Curve expiring in June 2018 references a June 2019 underlying ED futures contract.

When the first quarterly yearly Mid-Curve expires, there is no longer a way to trade shorter-dated options on that underlying.

Term Mid-Curves address this gap, offering short-dated options on the subsequent second, third and fourth quarterly ED futures contracts.

Questions?

If you have questions on Eurodollar Mid-Curve options, please contact:

David Reif

+1 312 648 3839

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