Eurodollar Futures

MacroVar monitors the Eurodollar futures market to monitor market expectations for central bank monetary policy (rate hikes/cuts), financial markets and economic outlook.

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Eurodollar futures are interest-rate financial futures contracts specific to the Eurodollar, which is a U.S. dollar deposit in commercial banks outside of the United States. Eurodollar plays a major role in the global financial markets. The interbank market for offshore dollars is very liquid, providing banks with the ability to fund dollar loans.

Eurodollar futures active contracts

What Are Eurodollar Futures?

The price of Eurodollar futures reflects the interest rate offered on U.S. dollar-denominated deposits held in banks outside the United States. The price reflects the market gauge of the 3-month U.S. dollar LIBOR interest rate anticipated on the settlement date of the contract.

Hence, Eurodollar futures are a LIBOR-based derivative, reflecting the LIBOR for a 3-month $1 million offshore deposit. 

Eurodollar futures prices are expressed numerically using 100 minus the implied 3-month U.S. dollar LIBOR interest rate.

For example, if an investor buys 1 Eurodollar futures contract at $96.00 and the price rises to $96.04, this corresponds to a lower implied settlement of LIBOR at 3.96%. The buyer of the futures contract will have made $100.