Help on Eurodollars (ED)

Eurodollar Futures are traded on the Chicago Mercantile Exchange. The price of the Eurodollar is quoted in basis points. The standard contract size is 1,00,000 Dollars. The minimum trading increment is 0.005 basis points

Eurodollars prices are read as follows:

A price of 95.245 would be read as 95.245 basis points

A move from 95.245 to 95.345 would be a difference of $250.00 excluding commissions and fees. The minimum change is 0.005 point or $12.50

Formula: 95.345 - 95.245 = 0.0010 * 1,000,000 = $1,000/4 = $250.00

Please note that since Eurodollars are a yield based instrument with a duration of 90 days, we divide by 4 because one only recieves 1/4 of a years worth of interest (90/360 = 1/4, using the standard 360 day year for interest calculations).

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