Using Interest Rate Futures to Manage Treasury Risk
The information herein has been complied by CME Group for general informational and education purposes only and does not constitute trading advice or the solicitation of purchases or sale of…
The information herein has been complied by CME Group for general informational and education purposes only and does not constitute trading advice or the solicitation of purchases or sale of…
There are 91 days between the IMM dates in our example hence the respective interest rates will apply for 91/360 days. Beginning with 1 Euro we would have: (1 +…
We have noted that the risk of a SR3 contract is defined by the IMM Index in terms of DV01 as $25 per basis point per contract. The heuristic notional…
On their last day of trading (i.e., their expiration date), these options are marked against the settlement price of their underlying futures at 2:00 p.m. CT. The futures settlement is…