CME: GE Eurodollar Futures prices chart

Eurodollar Futures (CME: GE)
Product Code:
CME Globex: GE, CME ClearPort: ED, Clearing: ED, Bloomberg: ED

Contract Unit: $2,500 x contract IMM Index.
Price Basis:
Contract IMM Index = 100 minus contract interest rate
Contract interest rate = interest rate per annum on three-month unsecured bank borrowing, for spot settlement on 3rd Wednesday of contract Delivery Month. (Eg, a contract price of 97.45 IMM Index points signifies a contract interest rate of 2.55 percent per annum.)

Price Increments:
Nearest Delivery Month: ¼ of one interest rate basis point (“bp”) = 0.0025 IMM Index points = $6.25 per contract. (On Last Trading Day in an expiring nearest contract, the next nearest contract begins trading in 0.0025 increments.)
All other Delivery Months: ½ of one interest rate bp = 0.005 index points = $12.50 per contract.

Delivery Method Cash settlement, by mark-to-market to final settlement price. Final settlement occurs on Last Trading Day.

Delivery Months:
Generally, nearest 40 months in March Quarterly cycle.
Generally, nearest 4 months not in March Quarterly cycle.

Delivery Standard: Three-month US dollar ICE LIBOR® set on Last Trading Day, for spot (T+2) settlement on 3rd Wednesday of Delivery Month, rounded to nearest 1/100th of one bp.2

Last Trading Day: 2nd London bank business day before 3rd Wednesday of Delivery Month.

Trading Hours 5pm to 4pm, Sun-Fri. Trading in expiring contracts terminates at 11am London time on Last Trading Day.