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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