This is a very basic question:

Computing the notional volume for futures contracts usually consists of something like:

$$V_F = N \cdot P \cdot M \cdot FX$$

Where $V_F$ is the dollar volume of the futures contract $F$, $N$ is the number of contracts, $P$ is the price, $M$ is the contract value (or multiplier), and $FX$ is the exchange rate.

For example, for E-Mini S&P 500 futures would be something like:

$V_{ES} = 1M \cdot \$1700 \cdot 50 \cdot 1 = \$85,000,000,000$

Where $50$ reflects the fact that one $ES$ contract is 50 indexes.

My question is: the volume for $EDZ3$ was ~73,000 last Friday. How can I convert this into a notional volume? The Eurodollar contract reflects the 90-day interest on $1M.

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    $\begingroup$ What is your question? You just walked through the (correct) calculation of notional value yourself. In the specific case of eurdollar futures your contract multiplier is $2500 (CME) and the number contracts traded 73k. You should consider the dollar value that is settled and ED is cash settled. So, it depends on whether you are interested in notional, defined in the same way as notional when the contracts are settled or whether you are interested in notional of the underlying interest contracts. The choice is yours. I would go with the former. $\endgroup$ – Matthias Wolf Oct 28 '13 at 2:57
  • $\begingroup$ @MattWolf Thanks for the comment, but I still don't understand. Could you provide this as an answer? I don't see your contract multiplier in the contract specifications: cmegroup.com/trading/interest-rates/stir/…. How did you come up with $2500? What about the $1M principal value? $\endgroup$ – griffin Oct 29 '13 at 1:35
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    $\begingroup$ thats basically the value of 100 basis points. (1 basis point value: $1,000,000 * 90/360 * 0.01% = $25). Thats basically saying that if the quoted price of the Eurodollar future is 100 with a multiplier of 2500 then the dollar value of 1 contract is $1,000,000 (you need to reflect the 90-day contract specification and hence multiply by 4). $\endgroup$ – Matthias Wolf Oct 29 '13 at 15:25

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