Eurodollar Futures: Price Changes, Expiration, and Daily Profit

Summary

The document explains how to estimate profit on a short Eurodollar futures position from the change in the quoted futures price, and asks how expiration timing and unchanged spot LIBOR affect a long position. The answer says the initial short-profit calculation uses the price difference and contract multiplier without separately adjusting for days to expiration. For the long-position scenario, it describes convergence toward a final price based on the spot LIBOR fixing, with gains or losses credited as the futures price changes each day.

The explanation distinguishes daily mark-to-market cash flows from the interest rate exposure reflected in the contract price. It is brief and relies on a particular example with quoted prices and a then-current LIBOR level; those figures are historical illustrations rather than general current values. It does not discuss margin, basis risk, contract conventions in detail, or hedging a loan, so those topics require additional contract-specific information.

Key ideas

• For the stated short trade, profit follows the quoted price change multiplied by the contract's value per price point.
• The answer says days to expiration are not a separate adjustment to that direct price-change calculation.
• A long position can gain as the futures price moves toward its maturity settlement level.
• Futures gains and losses are realized through daily account adjustments as the price changes.

Tags

# Eurodollar futures trading and mechanics


# Eurodollar futures trading and mechanics












I need help with calculating the profit I'd make if I was short the Jun '23 Eurodollar futures contract @99.275. I believe that it'll move to 98.75, which should net me a profit of 0.525*2500=1312.5. However, I've been reading up on these contracts and was wondering when I should account for days to expiration into my calculations, or if that would only be if I were hedging a loan with the Eurodollar futures.

Also, if I were long the contract, how would I make a profit if the LIBOR rate stays the same? How is the profit realized? Does the futures contract increase in value before it's rolled into the next futures month, or is the LIBOR rate already priced into the futures contract, and the contract is just used for locking in LIBOR rates?

Thank you!

## Answer by dm63 (score 1, accepted)

https://quant.stackexchange.com/a/65891

For the first question, your calculation is correct and there is no need to factor in the days to expiration.

For the second question. If you were long the Jun 23 contract at 99.275, you want to know what happens if spot Libor (which is setting at around 0.20% recently ) does not move between now and June ‘23? In that case the contract will eventually mature at 99.80, so you will make money. The money will hit your account every day that the contract increases in price, by $25 times the move in ticks. Was that the correct interpretation of the question?

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