Is Eurodollar Futures a kind of Interest Rate Futures?
I just read your post about interest rate futures and the movie of Eurodollar futures. Is Eurodollar Futures a kind of interest rate futures? How?
I just read your post about interest rate futures and the movie of Eurodollar futures. Is Eurodollar Futures a kind of interest rate futures? How?
Yes, Eurodollar futures are an interest-rate instrument, not to be confused with the Euro currency. The implied interest rate is 100 minus the price, so 99.23 implies a rate of 0.77%. The face value is $1M, but they are for only 90 days, so each tick (i.e., each .01) is $25 per contract. They trade ten years of Eurodollar futures at the Chicago Mercantile Exchange, on the March, June, September, December schedule, so there are 40 available months at any particular time.