Introduced in 1981, Eurodollar futures are the world’s premier short-term interest rate product. Eurodollars are time deposits denominated in U.S. dollars held outside of the United States and have been a benchmark interest rate in corporate funding for decades. The Eurodollar futures contract represents an interest rate on a three-month deposit of 1 million U.S. dollars. The single-day volume record for Eurodollar futures, set on Feb. 4, 1994, stands at 1,335,000 contracts. The second busiest trading day occurred recently on Jan. 3, 2001, when 1,285,677 contracts changed hands.
In addition, for four consecutive sessions the Euroyen LIBOR futures contract has set open interest records beginning with 6,416 positions on Jan. 16 and reaching 8,692 positions on Jan. 19. The previous open interest record was set on Nov. 10, 2000, with 6,133 positions.
The Euroyen LIBOR futures contract, launched April 1, 1999, settles to the London Interbank Offered Rate survey conducted by the British Bankers' Association. Euroyen LIBOR futures enable risk managers to construct better hedges for their over-the-counter yen-denominated products, which settle to LIBOR. The single-day volume record for Euroyen LIBOR was set on Nov. 9, 2000, when 2,000 contracts were traded.
Open interest is the number of futures and options contracts outstanding at the close of trading each day. Open interest can be seen as a measure of the use of risk management instruments by institutions and individuals with a long-term stake in the markets, as well as the liquidity of a contract. As of Jan. 19, overall CME open interest stood at more than 9 million positions.
