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Quoting CME Eurodollar Options in Basis Points

Article Quant Q&A · Author: Bhaskar Gudimetla
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Summary

The discussion explains how CME Eurodollar option premiums are quoted and compares a displayed quote of 0.0375 with a calculator value of 3.75. The answer identifies the calculator value as 3.75 basis points for the described option, apparently a September 2019 option on the September 2019 futures contract. It emphasizes that the contract description needs to specify both the option expiry and the underlying futures contract to interpret a quote correctly.

The exchange is brief and offers no independent calculation or broader conversion rule beyond identifying the units. The questioner’s contract details are initially incomplete, and the follow-up only promises screenshots, so the conclusion rests on the answerer’s interpretation of the calculator image. Readers should verify the exact contract specifications and quote convention before applying this explanation to other Eurodollar options.

Key ideas

  • CME Eurodollar option premiums are expressed in basis points in the example discussed.
  • The option expiry and underlying futures contract both matter when identifying a contract.
  • The answer interprets the calculator value of 3.75 as 3.75 basis points.
  • The brief exchange does not establish a universal conversion rule for every contract.

Tags

FuturesOptionsFixed incomeDerivatives pricing
Full text
# CME Eurodollar Option qoute


# CME Eurodollar Option qoute












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.

## Answer by Lliane (score 1, accepted)

https://quant.stackexchange.com/a/42858

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.

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.

## Answer by Bhaskar Gudimetla (score 1)

https://quant.stackexchange.com/a/42859

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

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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