Customer Service
info@cmegroup.com
800-331-3332 or 312-930-2316
1-month LIBOR
Product Snapshot: LIBOR Options
Options on LIBOR futures are geared to one-month LIBOR (London Interbank Offered Rate) rates on a $3 million deposit. LIBOR is often used as the benchmark rate for commercial loans, mortgages and floating rate debt issues.
Options on LIBOR futures provide a way to:
- Limit losses while maintaining the possibility of profiting from favorable changes in the futures prices
- Hedge interest rate risk related to the LIBOR
- Improve hedging capabilities with shorter-term intervals for interest rate risk management
- Take advantage of opportunities in changing price-yield relationships
- Execute spread trading strategies
Things to know:
- 12 consecutive monthly LIBOR futures are listed at any given time
- Most trading occurs in the expiration months that correspond with the quarterly Eurodollar expirations – Mar, Jun, Sep and Dec
- Contract is analogous to the Eurodollar contract, but represents one-month LIBOR on a $3 million deposit
- Trades electronically on the CME Globex platform
- Available virtually around the clock, around the world
- Complete price transparency and anonymity
- Also trades side-by-side on the CME Group trading floor during open outcry trading hours
View free real-time quotes on a variety of electronically traded CME Group products
3-Month Overnight Index Swaps Launching Sept. 7
Trade the spread between 3-month LIBOR and 3-month overnight rates with this new STIR product.
CNBC's Rick Santelli to host Fed Watch Webinar
Thursday, June 19, 2008
3:00 p.m., Central Time
Four Important New Publications for Interest Rate Customers
View and download them here.
- An Efficient Approach to Mortgage Pipeline Risk Management
- Protecting Funding Margins with Binary Options on the Target Federal Funds Rate
- Liability Driven Investing: Challenges and Opportunities
- The Evolution of Alpha Transport Strategies into Fixed Income
To request a print version, please call Customer Service at 1-800-331-3332 or 312-930-2316.
| Trade Unit | One IMM One-Month LIBOR futures contract. | ||||||
| Settle Method | Cash Settled | ||||||
| Point (Tick) Size | ½ point = .005 = $12.50 | ||||||
| Strike Price Interval | |||||||
| Strike | All listed intervals | ||||||
| Limits/Price Banding | Trading halted when the primary futures contract is limit bid or offered. | ||||||
| Minimum Fluctuation |
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| Trading Hours | 7:20 a.m. to 2:00 p.m. | ||||||
| Listed | |||||||
| Product Codes | Clearing Calls/Puts=EM Ticker Calls/Puts=EM | ||||||
| Minimum Block Size | |||||||
| Product Calendar | Twelve consecutive calendar months. View current product listings |
3-Month Overnight Index Swaps Launching Sept. 7
Trade the spread between 3-month LIBOR and 3-month overnight rates with this new STIR product.
CNBC's Rick Santelli to host Fed Watch Webinar
Thursday, June 19, 2008
3:00 p.m., Central Time
Four Important New Publications for Interest Rate Customers
View and download them here.
- An Efficient Approach to Mortgage Pipeline Risk Management
- Protecting Funding Margins with Binary Options on the Target Federal Funds Rate
- Liability Driven Investing: Challenges and Opportunities
- The Evolution of Alpha Transport Strategies into Fixed Income
To request a print version, please call Customer Service at 1-800-331-3332 or 312-930-2316.
| Contract Month | Product Code | First Trade Date | Last Trade Date | Settlement Date | |
| SEP08 | EMU08 | 09/18/2007 |  |
09/15/2008 | 09/15/2008 |
| OCT08 | EMV08 | 10/16/2007 | |
10/13/2008 | 10/13/2008 |
| NOV08 | EMX08 | 11/20/2007 | |
11/17/2008 | 11/17/2008 |
| DEC08 | EMZ08 | 12/18/2007 | |
12/15/2008 | 12/15/2008 |
| JAN09 | EMF09 | 01/15/2008 | |
01/19/2009 | 01/19/2009 |
| FEB09 | EMG09 | 02/19/2008 | |
02/16/2009 | 02/16/2009 |
| MAR09 | EMH09 | 03/18/2008 | |
03/16/2009 | 03/16/2009 |
| APR09 | EMJ09 | 04/15/2008 | |
04/09/2009 | 04/09/2009 |
| MAY09 | EMK09 | 05/20/2008 | |
05/18/2009 | 05/18/2009 |
| JUN09 | EMM09 | 06/17/2008 | |
06/15/2009 | 06/15/2009 |
| JUL09 | EMN09 | 07/15/2008 | |
07/13/2009 | 07/13/2009 |
| AUG09 | EMQ09 | 08/19/2008 | |
08/17/2009 | 08/17/2009 |
| Contract Month | Product Code | First Trade Date | Last Trade Date> | Settlement Date | |
| SEP09 | EMU09 | 09/16/2008 | |
09/14/2009 | 09/14/2009 |
3-Month Overnight Index Swaps Launching Sept. 7
Trade the spread between 3-month LIBOR and 3-month overnight rates with this new STIR product.
CNBC's Rick Santelli to host Fed Watch Webinar
Thursday, June 19, 2008
3:00 p.m., Central Time
Four Important New Publications for Interest Rate Customers
View and download them here.
- An Efficient Approach to Mortgage Pipeline Risk Management
- Protecting Funding Margins with Binary Options on the Target Federal Funds Rate
- Liability Driven Investing: Challenges and Opportunities
- The Evolution of Alpha Transport Strategies into Fixed Income
To request a print version, please call Customer Service at 1-800-331-3332 or 312-930-2316.
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