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
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