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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
Option Contract |
Symbol |
Underlying Future |
|---|---|---|
TE2 |
Futures contract that expires 3 calendar months from the next March quarterly month that is nearest to the expiration of the option |
|
TE3 |
Futures contract that expires 6 calendar months from the next March quarterly month that is nearest to the expiration of the option |
|
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 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 |
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
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.
Block Trades
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.
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Phone: +1 312 930 1000
Toll Free (US Only): +1 866 716 7274
