Serial Eurodollar futures are identical to quarterly Chicago Mercantile Exchange® (CME)  Eurodollar futures with the exception of the expiration dates. Serial euros expire in months other than those in the March, June, September, and December quarterly cycle. Serial Eurodollars share the following characteristics of existing Eurodollar contracts:

• Cash settle to 3-month LIBOR,
• A notional value of $1 million, and a $25 tick size,
• Expire two London business days prior to the third Wednesday of the contract month.

Two serial Eurodollar contracts are listed at any one time. For example, on September 1, serial Eurodollars would be those that expire in October and November. When the September quarterly futures expire mid-month, the October and November contracts would still be the serial months. With the expiration of the October contract mid-month, a January serial would be added, and so forth. Note that the listing of serial Eurodollar futures in no way affects the listing of traditional quarterly contracts.

These two additional contracts provide a more precise hedging vehicle for managers who have three-month interest rate exposure. For example, assume today is October 2 and you have a three-month interest rate exposure fixing on October 16. Hedging that risk with a December Eurodollar futures contract leaves you with the basis risk between a three-month rate fixing in 14 days, and a hedge based on a three-month rate fixing in 76 days. With October serial Eurodollar futures, you can now more closely match the fixing date of the hedge to that of the exposure, thereby greatly reducing the basis risk.

Serial Eurodollar futures do not affect serial option expirations. Non-March quarterly Eurodollar option expirations use the next quarterly futures contract as the underlying instrument. For example, serial Eurodollar options expiring in October and November use the December contract as the underlying future. There are no options on serial futures, (e.g., October options on October futures).