Eurodollar Futures P&L When the Contract Expires Unchanged

Summary

The discussion addresses whether buying a Eurodollar futures contract produces a gain when its quoted price is unchanged from entry through expiration. Its central point is that a buyer who enters at 99.80 and settles at 99.80 has no price-based profit or loss at expiry. A futures position’s value can change before maturity as the market price moves, but the stated example ends flat if the final price equals the entry price.

One response adds a currency-conversion qualification: an investor whose funds are in euros may experience a separate gain or loss when converting to dollars for the trade and back afterward, if exchange rates change. The excerpt does not discuss contract mechanics, margin cash flows, transaction costs, or broader interest-rate exposure, so its conclusion concerns the quoted-price outcome under the simplified assumptions given.

Key ideas

• A futures buyer entering and settling at the same quoted price has zero price-based P&L at expiry.
• The position may show gains or losses before expiration as the futures price changes.
• Currency conversion can create a separate result for an investor funding the trade in euros.
• The explanation omits costs and detailed contract cash-flow mechanics.

Tags

# LIBOR rate and eurodollar futures


# LIBOR rate and eurodollar futures












If the libor rate stays the same -which implies that also the eurodollar future quoted price remains the same- (ie: jun '22 prices is trading at 99.8, and it expires at 99.8), does the investor that purchased this contract make money for buying this contract?

## Answer by dm63 (score 2, accepted)

https://quant.stackexchange.com/a/66640

No, an investor that buys or sells the contract at 99.80 will make zero money if the contract expires at that price. (Not sure what you mean by lending. )Also note that investors may make or lose money prior to maturity if the price is moving , but in the end they will end up flat.

## Answer by Stelios Kounis (score 1)

https://quant.stackexchange.com/a/66641

If we assume that this investor does not care for the possibly different exchange rates prevailing at the expiration day in comparison with the day he entered the futures contract then no.

EDIT:: I am talking about exchange rates because maybe he had to convert euros to dollars to make this transaction and after expiration convert dollars to euros back again which can result in profit or loss.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.