1
$\begingroup$

How are the premiums/prices for eurodollar options qouted. Does the option price for one underlying future contract equals the qoute*100.

As I see the option price 9750 CALL expiring in Sept 2019 as of 29th November is qouted as 0.0375 whereas when I enter the same details in CME options calculator, the price shows as 3.75.

$\endgroup$
1
$\begingroup$

my CME calc image

Unable to take screenshot in my phone. I will post three screenshots of my calculator screen.

$\endgroup$
  • $\begingroup$ I updated my comment to answer you, options are quoted by CME as basis point, so yes 3.75 basis point = 0.0375 on the future, I don't really see the issue there. $\endgroup$ – Lliane Nov 30 '18 at 9:54
  • $\begingroup$ What would the dollar value of the price? $\endgroup$ – Bhaskar Gudimetla Nov 30 '18 at 10:59
1
$\begingroup$

Your description of the contract is incomplete, is this the december call on the september 19 future or something else ? In all cases it's in basis points as explained in the contract description and the calculator seems ok.

enter image description here

Based on your 3.75 picture it seems to be the option expiring in Sep 19 on the Sep 19 contract. And its price is 3.75 basis point.

enter image description here

$\endgroup$
  • $\begingroup$ The underlying contract is EDU9. If that helps $\endgroup$ – Bhaskar Gudimetla Nov 30 '18 at 9:06
  • $\begingroup$ If i take the contract on your screenshot as an example. Is the price of the option for one underlying futures contract (not the lot) is 0.25 dollars right, but not 0.0025 right? $\endgroup$ – Bhaskar Gudimetla Nov 30 '18 at 9:18
  • $\begingroup$ it's 0.25 basis points. $\endgroup$ – Lliane Nov 30 '18 at 9:57
  • $\begingroup$ What would be the dollar price of the option? $\endgroup$ – Bhaskar Gudimetla Nov 30 '18 at 10:59
  • 1
    $\begingroup$ 6.25 USD, that's litterally the first line of the contract spec.. "One-quarter of one basis point (0.0025 IMM Index point = $6.25) for option whose underlying futures contract is the nearest expiring futures contract month." cmegroup.com/trading/interest-rates/stir/… $\endgroup$ – Lliane Nov 30 '18 at 14:19

Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Not the answer you're looking for? Browse other questions tagged or ask your own question.