Underlying Futures Contract: CME Eurodollar (ED)
Depth: Continuous Futures Contract #5 (ED5)
Roll Date: Roll on Last Trading Day. Contracts roll on the last trading day of the expiring or front contract. Thus the continuous contract history is a non-overlapping end-to-end concatenation of underlying individual contracts, spliced on successive expiry dates.
Price Adjustment: Unadjusted. Prices are not adjusted in any way. Continuous contracts reflect raw prices from the underlying contracts.
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.