ELX Futures launched its Eurodollar Futures contract on Friday, June 18, 2010.

ELX Futures will initially list the first two years of the Eurodollar Futures quarterly and serial contracts, corresponding calendar spreads with implieds, one year packs and two year bundles.  ELX Eurodollars is available through the ELX System’s existing API and FIX interface and is available now for client testing and integration efforts.  ELX Eurodollars are available through our growing list of vendor solutions and market data relationships.

 

ELX Eurodollar Futures FAQs

1) What are Eurodollar Futures?
Eurodollars are U.S. dollars deposited in commercial banks outside the U.S.  Eurodollar Futures are futures contracts designed to reflect market expectations for interest rates on three-month Eurodollar deposits for specific dates in the future.

2) How are Eurodollar Futures settled?
Eurodollars are cash settled as determined by subtracting the three-month LIBOR from 100 on the last trading day.

3) What is the last trading day for Eurodollar Futures contracts?
Eurodollar Futures cease trading on the second London bank business day prior to the third Wednesday of the contract expiry month.  Trading in the expiring contract closes at 11:00 a.m. London Time on the last trading day.  If it is a bank holiday in New York or Chicago, trading terminates on the first London bank business day preceding the third Wednesday of the contract month.  If it is an Exchange holiday, trading terminates on the next preceding business day.

4) What is the contract size for Eurodollar Futures? 
Eurodollar Time Deposit having a principal value of USD $1,000,000 with a three-month maturity.

5) What is the Eurodollar “tick” size?
The tick size is one-quarter of one basis point (0.0025 = $6.25 per contract) in the nearest expiring contract month; one-half of one basis point (0.005 = $12.50 per contract) in all other contract months.  The “new” front-month contract begins trading in 0.0025 increments at 6:00 pm Eastern Time (ET), on the Sunday before the Monday on which the “old” expiring contract ceases trading.

6) How many Eurodollar Futures contracts will be listed at any one time?
ELX will list a total of 12 Eurodollar Futures contracts at all times; eight quarterly contracts spanning two years plus the four nearest serial monthly contracts.

7) What strategies will be supported for ELX Eurodollars?
Calendar Spread, Pack and Bundle.

Calendar Spread - The simultaneous purchase and sale of two different delivery months (quarterly or serial) of the same contract.

Pack - The simultaneous purchase or sale of an equally weighted, consecutive series of four Eurodollar Futures, starting with a quarterly contract.

Bundle - The simultaneous purchase or sale of an equally weighted, consecutive series of Eurodollar Futures.

8) How many Eurodollar Packs and Bundles will be listed?
A one-year Pack will be available for each of the first five quarterly contracts (4 white Packs and 1 red Pack).  A two-year Bundle will be available beginning with the nearest quarterly contract.

9) What are the matching rules for Outright Futures and Spreads? 
ELX Eurodollar Outright Futures and Calendar Spreads operate using a combined FIRST and PRORATA matching algorithm.  All Packs and Bundles are matched using a FIFO matching algorithm. 

For a more complete explanation, please go to the "Matching Rules" section at the bottom of the 2nd page of the ELX Eurodollar Futures Product Overview document.