CME Group Eurodollar 5-Year E-mini Bundles

Eurodollar 5-Year E-mini Bundles Futures	Eurodollar 5-Year E-mini Bundles Futures 	Eurodollar 5-Year E-mini Bundles Futures 	Eurodollar 5-Year E-mini Bundles Futures 	Eurodollar 5-Year E-mini Bundles Futures
Delivery Dates 	• IMM Mondays in March Quarterly months (March, June, Sept, Dec)
• 2 Nearest Quarters listed at a time (for each of the three bundles)	• IMM Mondays in March Quarterly months (March, June, Sept, Dec)
• 2 Nearest Quarters listed at a time (for each of the three bundles)	• IMM Mondays in March Quarterly months (March, June, Sept, Dec)
• 2 Nearest Quarters listed at a time (for each of the three bundles)	• IMM Mondays in March Quarterly months (March, June, Sept, Dec)
• 2 Nearest Quarters listed at a time (for each of the three bundles)
Price Basis 	• IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the
3rd Wednesday of contract month.
• Example: A price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).	• IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the
3rd Wednesday of contract month.
• Example: A price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).	• IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the
3rd Wednesday of contract month.
• Example: A price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).	• IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the
3rd Wednesday of contract month.
• Example: A price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).
Contract Size 	• $1,000,000 notional principal 	• $1,000,000 notional principal 	• $1,000,000 notional principal 	• $1,000,000 notional principal
Minimum Price Increment 	• 0.005 IMM Index Points 	• 0.005 IMM Index Points 	• 0.005 IMM Index Points 	• 0.005 IMM Index Points
Trading Unit 	One each of a sequence of eight or more ED futures with consecutive delivery months in the March Quarterly
delivery cycle, spanning a given Bundle Tenor, for a given Bundle Month	One each of a sequence of eight or more ED futures with consecutive delivery months in the March Quarterly
delivery cycle, spanning a given Bundle Tenor, for a given Bundle Month	One each of a sequence of eight or more ED futures with consecutive delivery months in the March Quarterly
delivery cycle, spanning a given Bundle Tenor, for a given Bundle Month	One each of a sequence of eight or more ED futures with consecutive delivery months in the March Quarterly
delivery cycle, spanning a given Bundle Tenor, for a given Bundle Month
Trading Unit 	Tenor 	Minimum Price Fluctuation* 	Minimum Price Increment 	RTH Block Threshold
Trading Unit 	2-Year 	0.0025 IMM Index Points 	$50 per contract 	500 contracts
Trading Unit 	3-Year 	0.0025 IMM Index Points 	$75 per contract 	330 contracts
Trading Unit 	5-Year 	0.0025 IMM Index Points 	$125 per contract 	200 contracts
Last Trading Day 	• Second London business day before 3rd Wednesday of futures Delivery Month	• Second London business day before 3rd Wednesday of futures Delivery Month	• Second London business day before 3rd Wednesday of futures Delivery Month	• Second London business day before 3rd Wednesday of futures Delivery Month
Trading Hours 	• CME Globex: 5pm to 4pm CT, Sun- Fri
• Trading in expiring futures terminates at 2pm CT on Last Trading Day	• CME Globex: 5pm to 4pm CT, Sun- Fri
• Trading in expiring futures terminates at 2pm CT on Last Trading Day	• CME Globex: 5pm to 4pm CT, Sun- Fri
• Trading in expiring futures terminates at 2pm CT on Last Trading Day	• CME Globex: 5pm to 4pm CT, Sun- Fri
• Trading in expiring futures terminates at 2pm CT on Last Trading Day
Tickers 	 	 	CME Ticker 	Bloomberg Code
Tickers 	2 Year 	2 Year 	BU2 	BUA Comdty
Tickers 	3 Year 	3 Year 	BU3 	BUB Comdty
Tickers 	5 Year 	5 Year 	BU5 	BUD Comdty
Matching Algorithms 	Outrights 	Outrights 	Calendar Spreads 	Calendar Spreads
Matching Algorithms 	First in First out (F Algorithm) 	First in First out (F Algorithm) 	100% Pro-Rata (K Algorithm) 	100% Pro-Rata (K Algorithm)
Eurodollar 5-Year E-mini Bundles Options	Eurodollar 5-Year E-mini Bundles Options 	Eurodollar 5-Year E-mini Bundles Options 	Eurodollar 5-Year E-mini Bundles Options 	Eurodollar 5-Year E-mini Bundles Options
Expiry Months 	• 2 Nearest Quarterly Options: March Quarterly Months (March, June, Sept, Dec)
• 2 Nearest Serial Months: Non-March Quarterly Months (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov)	• 2 Nearest Quarterly Options: March Quarterly Months (March, June, Sept, Dec)
• 2 Nearest Serial Months: Non-March Quarterly Months (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov)	• 2 Nearest Quarterly Options: March Quarterly Months (March, June, Sept, Dec)
• 2 Nearest Serial Months: Non-March Quarterly Months (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov)	• 2 Nearest Quarterly Options: March Quarterly Months (March, June, Sept, Dec)
• 2 Nearest Serial Months: Non-March Quarterly Months (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov)
Price Basis 	• IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the 3rd
Wednesday of contract month.
• Example: A futures price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).	• IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the 3rd
Wednesday of contract month.
• Example: A futures price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).	• IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the 3rd
Wednesday of contract month.
• Example: A futures price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).	• IMM price points: 100 points minus the three-month London interbank offered rate for spot settlement on the 3rd
Wednesday of contract month.
• Example: A futures price quote of 97.45 signifies a deposit rate of 2.55 percent per year ( = 100 minus 2.55 ).
Exercise Price Arrays 	• Integer Multiples of 0.25 IMM Index points, from 5.50 IMM Index points above to 5.50 IMM Index points below the
current at-the-money price.
• Integer Multiples of 0.125 IMM Index points, from 1.50 IMM Index points above and to 1.50 Index points below the
current at-the-money price	• Integer Multiples of 0.25 IMM Index points, from 5.50 IMM Index points above to 5.50 IMM Index points below the
current at-the-money price.
• Integer Multiples of 0.125 IMM Index points, from 1.50 IMM Index points above and to 1.50 Index points below the
current at-the-money price	• Integer Multiples of 0.25 IMM Index points, from 5.50 IMM Index points above to 5.50 IMM Index points below the
current at-the-money price.
• Integer Multiples of 0.125 IMM Index points, from 1.50 IMM Index points above and to 1.50 Index points below the
current at-the-money price	• Integer Multiples of 0.25 IMM Index points, from 5.50 IMM Index points above to 5.50 IMM Index points below the
current at-the-money price.
• Integer Multiples of 0.125 IMM Index points, from 1.50 IMM Index points above and to 1.50 Index points below the
current at-the-money price
Exercise Price Arrays 	• American Style – Option may be exercised on any day, with notification of exercise to CME Clearing no later than 7pm.	• American Style – Option may be exercised on any day, with notification of exercise to CME Clearing no later than 7pm.	• American Style – Option may be exercised on any day, with notification of exercise to CME Clearing no later than 7pm.	• American Style – Option may be exercised on any day, with notification of exercise to CME Clearing no later than 7pm.
Minimum Price Increment 	Tenor 	Minimum Price Fluctuation* 	Minimum Price Increment 	RTH Block Threshold
Minimum Price Increment 	2-Year 	0.0025 IMM Index Points 	$50 per contract 	1,250 contracts
Minimum Price Increment 	3-Year 	0.0025 IMM Index Points 	$75 per contract 	825 contracts
Minimum Price Increment 	5-Year 	0.0025 IMM Index Points 	$125 per contract 	500 contracts
Last Trading Day 	Friday preceding 3rd Wednesday of Option Expiry Month. 	Friday preceding 3rd Wednesday of Option Expiry Month. 	Friday preceding 3rd Wednesday of Option Expiry Month. 	Friday preceding 3rd Wednesday of Option Expiry Month.
Trading Hours 	• CME Globex: 5pm to 4pm CT, Sun- Fri
• Trading in expiring futures terminates at 2pm CT on Last Trading Day 	• CME Globex: 5pm to 4pm CT, Sun- Fri
• Trading in expiring futures terminates at 2pm CT on Last Trading Day 	• CME Globex: 5pm to 4pm CT, Sun- Fri
• Trading in expiring futures terminates at 2pm CT on Last Trading Day 	• CME Globex: 5pm to 4pm CT, Sun- Fri
• Trading in expiring futures terminates at 2pm CT on Last Trading Day
Tickers 	 	 	CME Ticker 	Bloomberg Code
Tickers 	2 Year 	2 Year 	BU2 	BUA Comdty
Tickers 	3 Year 	3 Year 	BU3 	BUB Comdty
Tickers 	5 Year 	5 Year 	BU5 	BUD Comdty
== Notes ==
== Resources ==
CME Group Eurodollar E-mini Bundles Contract Specifications
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