74:
potentially take delivery of a bunch of bonds if the contract is not cash settled. The bonds which the seller can deliver vary depending on the futures contract. The seller can choose to deliver a variety of bonds to the buyer that fit the definitions laid out in the contract. The futures contract price takes this into account, therefore prices have less to do with current market interest rates, and more to do with what existing bonds in the market are cheapest to deliver to the buyer.
1461:
303:(BBA) percentage rate for Three–Month Eurodollar Interbank Time Deposits, rounded to the nearest 1/10000th of a percentage point at 11:00 London time on that day, subtracted from 100. (Expressing financial futures prices as 100 minus the implied interest rate was originally intended to make the contract price behave similarly to a
343:
allow direct exchange trading in calendar spreads (the order book for spreads is separate from that of the underlying futures), which are quoted in terms of implied prices (price differences between futures of different expiries). Exchange-traded futures spreads greatly reduce execution risk and
65:
For example, borrowers face the risk of interest rates rising. Futures use the inverse relationship between interest rates and bond prices to hedge against the risk of rising interest rates. A borrower will enter to sell a future today. Then if interest rates rise in the future, the value of the
73:
Interest rate futures are not directly correlated with the market interest rates. When one enters into an interest rate futures contract (like a bond future), the trader has ability to eventually take delivery of the underlying asset. In the case of notes and bonds this means the trader could
69:
Treasury futures are contracts sold on the Globex market for March, June, September and
December contracts. As pressure to raise interest rates rises, futures contracts will reflect that speculation as a decline in price. Price and yield will always be in an inversely correlated relationship.
394:
221:
225:
430:
114:. This value is calculated as 100 minus the interest rate. Contracts vary, but are often defined upon an interest rate index such as 3-month sterling or US dollar
344:
slippage, allowing traders to place guaranteed limit orders for entire spreads, otherwise impossible when entering into spreads via two separate futures orders.
66:
future will fall (as it is linked to the underlying asset, bond prices), and hence a profit can be made when closing out of the future (i.e. buying the future).
1298:
1210:
296:
Payment is the difference between the price paid for the contract (in ticks) multiplied by the "tick value" of the contract which is $ 12.50 per tick.
516:
1004:
579:
1009:
327:
A great deal of the trading on these contracts is exchange traded multi-leg strategies, essentially bets upon the future shape of the
399:
1344:
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538:
409:
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771:
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237:
1235:
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998:
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Last
Trading Day is the second London business day preceding the third Wednesday of the contract month.
62:
against the risk that interest rates will move in an adverse direction, causing a cost to the company.
1280:
1091:
299:
Before the Last
Trading Day the contract trades at market prices. The Final Settlement Price is the
110:
at settlement, with the exception of
Euribor which is based on Euribor and Euroyen which is based on
46:
As of 2019, the global market for exchange-traded interest rate futures was notionally valued by the
1399:
1394:
358:
249:
36:
1349:
1049:
1019:
994:
877:
718:
650:
549:
255:
1146:
1131:
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1039:
268:
Eurodollar interest rate future, the most widely and deeply traded financial futures contract.
243:
550:
Actions in response to
Japanese Interest Rate Benchmark Reform - Tokyo Financial Exchange Inc.
389:
1359:
1126:
1024:
703:
456:
431:"The future regulation of derivatives markets: is the EU on the right track? (Introduction)"
1313:
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971:
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847:
801:
796:
670:
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368:
279:
141:(CME) - This will be terminated in June 2023 and converted to the Three-Month SOFR futures.
32:
35:) with an interest-bearing instrument as the underlying asset. It is a particular type of
8:
1318:
1106:
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852:
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665:
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353:
87:
28:
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They are listed on a 10-year cycle. Other markets only extend about 2–4 years.
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17:
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150:
91:
1240:
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942:
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882:
751:
723:
713:
655:
517:
Transitioning from
Eurodollar futures and options to SOFR - FAQ - CME Group
1121:
989:
960:
956:
907:
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693:
403:
328:
290:
189:
138:
122:
1445:
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842:
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price in that an increase in price corresponds to a decrease in yield).
95:
40:
635:
557:
384:
39:. Examples include Treasury-bill futures, Treasury-bond futures and
1205:
927:
824:
645:
16:"Short Sterling" redirects here. For the World War II bomber, see
207:
164:
121:
They are traded across a wide range of currencies, including the
103:
99:
1460:
381:
The
Fundamentals of Trading U.S. Treasury Bond and Note Futures
410:
Interest Rate
Futures Contract Specifications and Tick Values
336:
311:
Short-term interest rate futures are extensively used in the
211:
178:
115:
111:
107:
144:
94:
at maturation. Common short-term interest rate futures are
390:
Answers.com description of interest rate futures contracts
106:, Short Sterling and Euroswiss, which are calculated on
539:
30 Day
Federal Funds Futures Contract Specs - CME Group
483:"Bond Futures: What Do The Quote Prices Really Mean?"
210:(TIF) - This will be terminated in 2024, and 3-month
528:
Three-Month SOFR Futures
Contract Specs - CME Group
77:
1478:
395:Euronext description of short sterling contracts
264:As an example, consider the definition of the
250:Tokyo International Financial Futures Exchange
573:
506:Eurodollar Futures Contract Specs - CME Group
322:
433:. Parliament. 23 March 2010. Archived from
580:
566:
480:
457:"Exchange-traded derivatives statistics"
1405:Power reverse dual-currency note (PRDC)
1345:Constant proportion portfolio insurance
1479:
587:
84:short-term interest rate (STIR) future
561:
260:TFEX is the Thailand Futures Exchange
1340:Collateralized debt obligation (CDO)
128:Some representative contracts are:
13:
58:Interest rate futures are used to
48:Bank for International Settlements
14:
1498:
481:Willette, Jeff (1 October 2013).
461:Bank for International Settlement
374:
147:1-month and 3-month futures (CME)
1459:
90:that derives its value from the
78:Short-term interest rate futures
1167:Year-on-year inflation-indexed
543:
532:
521:
510:
499:
474:
449:
423:
1:
1177:Zero-coupon inflation-indexed
416:
125:currencies and many others.
7:
1380:Foreign exchange derivative
772:Callable bull/bear contract
347:
301:British Bankers Association
266:Chicago Mercantile Exchange
238:Chicago Mercantile Exchange
214:futures will start in 2023.
10:
1503:
323:Exchange-traded Strategies
15:
1454:
1413:
1332:
1289:
1281:Stock market index future
1185:
1062:
970:
833:
742:
679:
613:
604:
595:
412:at ExcelTradingModels.com
285:The minimum fluctuation (
1400:Mortgage-backed security
1395:Interest rate derivative
1370:Equity-linked note (ELN)
1355:Credit-linked note (CLN)
359:Interest rate derivative
37:interest rate derivative
1350:Contract for difference
651:Risk-free interest rate
406:– free, historical data
282:on the third Wednesday.
256:Sydney Futures Exchange
53:
1132:Forward Rate Agreement
244:Chicago Board of Trade
217:90-day Bank Bill (SFE)
1487:Derivatives (finance)
1360:Credit default option
704:Employee stock option
278:Delivery Day is cash
50:at $ 34,771 billion.
1314:Inflation derivative
1299:Commodity derivative
1271:Single-stock futures
1261:Normal backwardation
1251:Interest rate future
1092:Conditional variance
598:Derivative (finance)
369:Mathematical finance
33:financial derivative
25:interest rate future
1466:Business portal
1319:Property derivative
317:interest rate swaps
1324:Weather derivative
1309:Freight derivative
1291:Exotic derivatives
1211:Commodities future
898:Intermarket spread
661:Synthetic position
589:Derivatives market
364:Interest rate swap
1474:
1473:
1375:Equity derivative
1365:Credit derivative
1333:Other derivatives
1304:Energy derivative
1266:Perpetual futures
1147:Overnight indexed
1097:Constant maturity
1058:
1057:
1005:Finite difference
938:Protective option
487:www.RadBrains.com
437:on 8 January 2016
1494:
1464:
1463:
1236:Forwards pricing
1010:Garman–Kohlhagen
611:
610:
582:
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568:
559:
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478:
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469:
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453:
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427:
354:Forward contract
289:size) is half a
88:futures contract
29:futures contract
1502:
1501:
1497:
1496:
1495:
1493:
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1491:
1477:
1476:
1475:
1470:
1458:
1450:
1436:Great Recession
1431:Government debt
1409:
1385:Fund derivative
1328:
1285:
1246:Futures pricing
1221:Dividend future
1216:Currency future
1199:
1181:
1054:
1030:Put–call parity
966:
953:Vertical spread
888:Diagonal spread
858:Calendar spread
829:
738:
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600:
591:
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224:futures (BB3) (
80:
56:
21:
12:
11:
5:
1500:
1490:
1489:
1472:
1471:
1469:
1468:
1455:
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1443:
1441:Municipal debt
1438:
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1428:
1426:Corporate debt
1423:
1417:
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1228:
1226:Forward market
1223:
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1197:
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1186:
1183:
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1107:Credit default
1104:
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1079:
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987:
982:
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974:
968:
967:
965:
964:
950:
945:
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935:
930:
925:
920:
915:
910:
905:
903:Iron butterfly
900:
895:
890:
885:
880:
875:
873:Covered option
870:
865:
860:
855:
850:
845:
839:
837:
831:
830:
828:
827:
822:
817:
812:
811:Mountain range
809:
804:
799:
794:
789:
784:
779:
774:
769:
764:
759:
754:
748:
746:
740:
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731:
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721:
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685:
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677:
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643:
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628:
623:
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520:
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387:
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375:External links
373:
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366:
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349:
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324:
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309:
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297:
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287:Commodity tick
283:
276:
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262:
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246:
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230:
229:
218:
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198:
197:
194:Euronext.liffe
186:
183:Euronext.liffe
172:
169:Euronext.liffe
155:
154:
148:
142:
79:
76:
55:
52:
18:Short Stirling
9:
6:
4:
3:
2:
1499:
1488:
1485:
1484:
1482:
1467:
1462:
1457:
1456:
1453:
1447:
1444:
1442:
1439:
1437:
1434:
1432:
1429:
1427:
1424:
1422:
1421:Consumer debt
1419:
1418:
1416:
1414:Market issues
1412:
1406:
1403:
1401:
1398:
1396:
1393:
1391:
1390:Fund of funds
1388:
1386:
1383:
1381:
1378:
1376:
1373:
1371:
1368:
1366:
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1239:
1237:
1234:
1232:
1231:Forward price
1229:
1227:
1224:
1222:
1219:
1217:
1214:
1212:
1209:
1207:
1204:
1203:
1201:
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1168:
1165:
1163:
1160:
1158:
1155:
1153:
1150:
1148:
1145:
1143:
1142:Interest rate
1140:
1138:
1135:
1133:
1130:
1128:
1125:
1123:
1120:
1118:
1115:
1113:
1110:
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1103:
1100:
1098:
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1090:
1088:
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1080:
1078:
1075:
1073:
1070:
1069:
1067:
1065:
1061:
1051:
1048:
1046:
1043:
1041:
1038:
1036:
1035:MC Simulation
1033:
1031:
1028:
1026:
1023:
1021:
1018:
1016:
1013:
1011:
1008:
1006:
1003:
1000:
996:
995:Black–Scholes
993:
991:
988:
986:
983:
981:
978:
977:
975:
973:
969:
962:
958:
954:
951:
949:
948:Risk reversal
946:
944:
941:
939:
936:
934:
931:
929:
926:
924:
921:
919:
916:
914:
911:
909:
906:
904:
901:
899:
896:
894:
891:
889:
886:
884:
881:
879:
878:Credit spread
876:
874:
871:
869:
866:
864:
861:
859:
856:
854:
851:
849:
846:
844:
841:
840:
838:
836:
832:
826:
823:
821:
818:
816:
813:
810:
808:
805:
803:
802:Interest rate
800:
798:
797:Forward start
795:
793:
790:
788:
785:
783:
780:
778:
775:
773:
770:
768:
765:
763:
760:
758:
755:
753:
750:
749:
747:
745:
741:
735:
732:
730:
727:
725:
724:Option styles
722:
720:
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712:
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707:
705:
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692:
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686:
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678:
672:
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659:
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652:
649:
647:
644:
642:
641:Open interest
639:
637:
634:
632:
629:
627:
624:
622:
621:Delta neutral
619:
618:
616:
612:
609:
607:
603:
599:
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590:
583:
578:
576:
571:
569:
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502:
488:
484:
477:
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458:
452:
436:
432:
426:
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411:
408:
405:
404:Rates Futures
401:
398:
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357:
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209:
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202:
195:
191:
187:
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177:
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166:
162:
161:
160:
159:
153:30-day (CBOT)
152:
151:Federal funds
149:
146:
143:
140:
136:
135:
134:
133:
132:United States
129:
126:
124:
119:
117:
113:
109:
105:
101:
97:
93:
92:interest rate
89:
85:
75:
71:
67:
63:
61:
51:
49:
44:
42:
38:
34:
30:
26:
19:
1250:
1241:Forward rate
1152:Total return
1040:Real options
943:Ratio spread
923:Naked option
883:Debit spread
714:Fixed income
656:Strike price
545:
534:
523:
512:
501:
490:. Retrieved
486:
476:
464:. Retrieved
451:
439:. Retrieved
435:the original
425:
326:
310:
263:
242:CBOT is the
231:
200:
199:
157:
156:
131:
130:
127:
120:
83:
81:
72:
68:
64:
57:
45:
24:
22:
1172:Zero Coupon
1102:Correlation
1050:Vanna–Volga
908:Iron condor
694:Bond option
329:yield curve
291:basis point
254:SFE is the
248:TIF is the
236:CME is the
123:G12 country
1446:Tax policy
1162:Volatility
1072:Amortising
913:Jelly roll
848:Box spread
843:Backspread
835:Strategies
671:Volatility
666:the Greeks
631:Expiration
492:2013-10-08
417:References
293:or 0.005%.
280:settlement
139:Eurodollar
96:Eurodollar
41:Eurodollar
1137:Inflation
1087:Commodity
1045:Trinomial
980:Bachelier
972:Valuation
853:Butterfly
787:Commodore
636:Moneyness
385:CME Group
43:futures.
1481:Category
1276:Slippage
1206:Contango
1190:Forwards
1157:Variance
1117:Dividend
1112:Currency
1025:Margrabe
1020:Lattices
999:equation
985:Binomial
933:Strangle
928:Straddle
825:Swaption
807:Lookback
792:Compound
734:Warrants
709:European
689:American
681:Vanillas
646:Pin risk
626:Exercise
348:See also
220:3-month
206:3-month
176:Sterling
163:3-month
1195:Futures
815:Rainbow
782:Cliquet
777:Chooser
757:Barrier
744:Exotics
606:Options
466:20 June
441:18 June
335:. Both
331:and/or
313:hedging
208:Euroyen
174:90-day
165:Euribor
137:90-day
104:Euroyen
100:Euribor
1256:Margin
1122:Equity
1015:Heston
918:Ladder
868:Condor
863:Collar
820:Spread
767:Binary
762:Basket
400:Quandl
232:where
158:Europe
1127:Forex
1082:Basis
1077:Asset
1064:Swaps
990:Black
893:Fence
752:Asian
614:Terms
337:Liffe
333:basis
222:BIBOR
188:Euro
179:LIBOR
116:LIBOR
112:TIBOR
108:LIBOR
86:is a
60:hedge
27:is a
961:Bull
957:Bear
699:Call
468:2020
443:2013
339:and
305:Bond
226:TFEX
212:TONA
201:Asia
145:SOFR
118:.
54:Uses
729:Put
383:by
341:CME
315:of
190:Sfr
31:(a
23:An
1483::
959:,
719:FX
485:.
459:.
402::
319:.
102:,
98:,
82:A
1001:)
997:(
963:)
955:(
581:e
574:t
567:v
495:.
470:.
445:.
228:)
196:)
192:(
185:)
181:(
171:)
167:(
20:.
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