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Eurodollar Futures Rates

This document shows Eurodollar futures settlement prices and yield rates from July 2005 to March 2012. It lists the open, high, low, settle and change for each contract month, as well as the open interest. Over this period, yields decreased from 1.24% to 6.48% as settle prices rose from 98.76 to 93.52.

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31 views1 page

Eurodollar Futures Rates

This document shows Eurodollar futures settlement prices and yield rates from July 2005 to March 2012. It lists the open, high, low, settle and change for each contract month, as well as the open interest. Over this period, yields decreased from 1.24% to 6.48% as settle prices rose from 98.76 to 93.52.

Uploaded by

veda20
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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EURODOLLAR (CME) - $1 million: pts of 100%

Yield
Open
High
Low
Settle
Chg.
Settle
Jul-05
98.76
98.76
98.76
98.76
1.24
Aug-05
98.71
98.71
98.71
98.71
1.29
Sep-05
98.71
98.71
98.71
98.71
1.29
Oct-05
98.76
98.76
98.76
98.76
1.24
Dec-05
98.66
98.66
98.66
98.66
1.34
Mar-06
98.62
98.62
98.62
98.62
1.38
Jun-06
98.30
98.35
98.30
98.32
0.01
1.68
Sep-06
98.08
98.13
98.08
98.10
0.02
1.90
Dec-06
97.76
97.83
97.78
97.80
0.04
2.20
Mar-07
97.45
97.54
97.48
97.51
0.04
2.49
Jun-07
97.17
97.23
97.18
97.20
0.03
2.80
Sep-07
96.90
96.95
96.90
96.92
0.02
3.08
Dec-07
96.62
96.68
96.62
96.64
0.02
3.36
Mar-08
96.36
96.42
96.37
96.39
0.03
3.61
Jun-08
96.13
96.19
96.14
96.16
0.03
3.84
Sep-08
96.11
96.18
96.12
96.14
0.03
3.86
Dec-08
95.71
95.76
95.71
95.73
0.03
4.27
Mar-09
95.50
95.57
95.52
95.54
0.04
4.46
Jun-09
95.32
95.39
95.34
95.36
0.04
4.64
Sep-09
95.16
95.22
95.19
95.20
0.04
4.80
Dec-09
95.02
95.09
95.04
95.06
0.04
4.94
Mar-10
94.89
94.96
94.91
94.93
0.04
5.07
Jun-10
94.76
94.83
94.77
94.80
0.04
5.20
Sep-10
94.33
94.41
94.36
94.38
0.05
5.62
Dec-10
94.22
94.30
94.25
94.27
0.05
5.73
Mar-11
94.13
94.21
94.14
94.18
0.05
5.82
Jun-11
94.05
94.13
94.08
94.10
0.05
5.90
Sep-11
93.83
93.91
93.86
93.88
0.05
6.12
Dec-11
93.51
93.59
93.53
93.56
0.05
6.44
Mar-12
93.47
93.55
93.50
93.52
0.05
6.48
Est. vol. 606,932; vol. Tue 682,932; open int. 5,204,390, +21,147.

Chg.
-0.01
-0.02
-0.04
-0.04
-0.03
-0.02
-0.02
-0.03
-0.03
-0.03
-0.03
-0.04
-0.04
-0.04
-0.04
-0.04
-0.04
-0.05
-0.05
-0.05
-0.05
-0.05
-0.05
-0.05

Open
Interest
116,620
17,794
813,919
230
752,837
660,259
490,780
424,856
449,413
242,773
183,517
173,389
141,627
150,124
117,292
81,626
66,604
73,873
50,968
39,005
31,822
30,792
17,891
7,123
7,504
2,922
6,039
1,930
603
305

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