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Taille du contrat |
One Three Month Eurodollar Futures Contract |
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Mois d'échéance |
March, June, September and December and two serial months, such that ten expiry months are available for trading, with the nearest three expiry months being consecutive calendar months (serial options relate to the following quarterly delivery month of the futures contract)
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Cotation |
Percentage points
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Echelon minimum de cotation |
0.005 for all expiry months ($12.50 for all expiry months) |
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Jour d'exercice |
Exercise by 20:00 London time on any business day prior to the Last Trading Day
Exercise by 11:45 London time on the Last Trading Day |
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Dernier jour de négociation |
11:00 London time Two London business days prior to the third Wednesday of the expiry month |
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Compens. |
Positions settled to the nearest 0.005
20:00 London time. |
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Date de livraison |
First business day following Exercise |
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Heures de cotation |
07:02 to 21:00 London Time |
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Documentation |
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Options On Short Term Interest Rate, Swapnote® And Government Bond Contracts |
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Mis à jour |
22/07/09 |
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- Trading Platform:
- LIFFE CONNECT® Trading Host for Futures and Options
- Algorithm: Central order book applies pro-rata algorithm, but with priority given to the first order at the best price subject to a minimum order volume and limited to a maximum volume cap.
- Wholesale Services: Block Trading
- Contract Standard:
- Assignment of one Three Month Eurodollar Futures Contract at the exercise price. The futures delivery month associated with each option expiry month shall be:
March in respect of January, February and March expiry months;
June in respect of April, May and June expiry months;
September in respect of July, August and September expiry months;
December in respect of October, November and December expiry months.
- Exercise Price Intervals:
- 0.125 for all serial delivery months and first four quarterly delivery months
0.250 for remaining quarterly months
- Introduction of new exercise prices:
- Nine exercise prices will be listed for each new series. For expiry months with 0.250 exercise price intervals, additional exercise prices will be listed when the Three Month Eurodollar futures contract settlement price is within 0.120 of the fourth highest or lowest existing exercise price, or as deemed necessary by the Exchange. For expiry months with 0.125 exercise price intervals, additional exercise prices will be listed when the futures contract settlement price is within 0.060 of the eighth highest or lowest existing exercise price, or as deemed necessary by the Exchange.
- Option Premium:
- The contract price is not paid at the time of purchase. Option positions, as with futures positions, are marked-to-market daily giving rise to positive or negative variation margin flows. If the Buyer exercises an option, the Buyer is required to pay the original contract price to the Clearing House and the Clearing House will pay the original contract price to the Seller on the following business day. Such payments will be netted against the variation margin balances of the Buyer and Seller by the Clearing House.
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