Underlying Futures Contract: CME Eurodollar (ED)
Depth: Continuous Futures Contract #1 (ED1)
Roll Date: Roll on First Day of Delivery Month. Contracts roll on the first day of the delivery month of the expiring or front contract. If the front contract expires before the first day of the deliverty month, then contracts roll on the expiry date instead.
Price Adjustment: Calendar Weighted Method. The price gap between consecutive contracts is smoothed by following a weighted-average process. The continuous contract gradually shifts from representing 100% front and 0% back weighting, to 0% front and 100% back weighting, over a period of 5 days. This price adjustment corresponds to a mechanical roll strategy wherein the trader rolls 20% of the position every day, for 4 days before the roll date.
Methodology: To read more about the Stevens roll date and price adjustment methodology, see the Documentation tab on the Stevens Continuous Futures database home page.
Contract Size: Interest on Eurodollar deposits having a face value of $1,000,000 for three months.
Deliverable Good: None, this contract is cash settled
Tick Size: Nearest expiring contract month: One quarter of one interest rate basis point = 0.0025 price points = $6.25 per contract. All other contract months:One half of one interest rate basis point = 0.005 price points = $12.50 per contract.
Pricing Unit: Quoted in IMM Three-Month LIBOR index points or 100 minus the rate on an annual basis over a 360 day year (e.g., a rate of 2.5% shall be quoted as 97.50). 1 basis point = .01 = $25.
Columns: Open, High, Low, Settle, Volume, Previous Day Open Interest. Note that Open Interest is always reported for the previous trading day, to avoid lookahead bias.