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.
$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). $\endgroup$ – Matt Oct 29 '13 at 15:25