This record comes on the heels of last week’s unexpected move by the Federal Reserve Board that cut key short-term interest rates, which fueled the second highest level of trading volume for CME’s interest rate products. On Wednesday, Jan. 3, 1,285,677 Eurodollar futures contracts changed hands. The single-day volume record stands at 1,335,000, which was set on Feb. 4, 1994.
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. 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.
Introduced in 1981, Eurodollar futures are the world’s premier short-term interest rate product. Also traded in the interest rate complex are contracts based on One-Month LIBOR, Euroyen and Treasury bills.
